Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2016shares | |
Document and Entity Information [Abstract] | |
Entity Registrant Name | Federal Home Loan Bank of Chicago |
Entity Central Index Key | 1,331,451 |
Current Fiscal Year End Date | --12-31 |
Entity Filer Category | Non-accelerated Filer |
Document Type | 10-Q |
Document Period End Date | Sep. 30, 2016 |
Document Fiscal Year Focus | 2,016 |
Document Fiscal Period Focus | Q3 |
Amendment Flag | false |
Entity Common Stock, Shares Outstanding | 19,376,924 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Statements of Condition
Statements of Condition - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Assets | ||
Cash and due from banks | $ 31 | $ 499 |
Interest bearing deposits | 650 | 650 |
Federal Funds sold | 3,807 | 1,702 |
Securities purchased under agreements to resell | 1,000 | 1,375 |
Investment securities - | ||
Trading, $90 and $62 pledged | 1,047 | 1,160 |
Available-for-sale | 15,561 | 17,470 |
Held-to-maturity, $5,308 and $6,513 fair value | 4,788 | 5,967 |
Investment securities | 21,396 | 24,597 |
Advances, $703 and $511 carried at fair value | 43,117 | 36,778 |
MPF Loans held in portfolio, net of allowance for credit losses of $(3) and $(3) | 4,720 | 4,828 |
Derivative assets | 21 | 2 |
Other assets, $58 and $54 carried at fair value | 241 | 240 |
Assets | 74,983 | 70,671 |
Deposits - | ||
Noninterest bearing | 59 | 41 |
Interest bearing, $15 and $12 from other FHLBs | 453 | 497 |
Deposits | 512 | 538 |
Consolidated obligations, net - | ||
Discount notes, $12,537 and $9,006 carried at fair value | 39,144 | 41,564 |
Bonds, $7,058 and $952 carried at fair value | 30,139 | 22,582 |
Consolidated obligations, net | 69,283 | 64,146 |
Derivative liabilities | 48 | 55 |
Affordable Housing Program assessment payable | 90 | 89 |
Mandatorily redeemable capital stock | 302 | 8 |
Other liabilities | 233 | 239 |
Subordinated notes | 0 | 944 |
Liabilities | 70,468 | 66,019 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock - putable $100 par value - 11 million and 13 million shares issued and outstanding | 1,063 | 1,313 |
Class B2 membership stock - putable $100 par value - 6 million and 6 million shares issued and outstanding | 573 | 637 |
Capital stock | 1,636 | 1,950 |
Retained earnings - unrestricted | 2,577 | 2,407 |
Retained earnings - restricted | 374 | 323 |
Retained earnings | 2,951 | 2,730 |
Accumulated other comprehensive income (loss) (AOCI) | (72) | (28) |
Capital | 4,515 | 4,652 |
Liabilities and capital | $ 74,983 | $ 70,671 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Trading securities pledged | $ 90 | $ 62 |
Held-to-maturity fair value | 5,308 | 6,513 |
Advances carried at fair value | 703 | 511 |
Allowance for credit losses on MPF Loans | (3) | (3) |
Mortgage loans held for sale (in other assets) carried at fair value | 58 | 54 |
Interest bearing deposits from other FHLBs | 15 | 12 |
Discount notes carried at fair value | 12,537 | 9,006 |
Consolidated obligation bonds carried at fair value | $ 7,058 | $ 952 |
Capital stock par value | $ 100 | $ 100 |
Class B1 activity shares issued | 11 | 13 |
Class B1 activity shares outstanding | 11 | 13 |
Class B2 membership shares issued | 6 | 6 |
Class B2 membership shares outstanding | 6 | 6 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Income Statement [Abstract] | ||||
Interest income | $ 309 | $ 304 | $ 944 | $ 934 |
Interest expense | 196 | 182 | 600 | 561 |
Net interest income | 113 | 122 | 344 | 373 |
Provision for (reversal of) credit losses | 0 | 1 | 0 | 5 |
Net interest income after provision for (reversal of) credit losses | 113 | 121 | 344 | 368 |
Noninterest gain (loss) on - | ||||
Trading securities | 0 | (1) | 0 | (2) |
Derivatives and hedging activities | 7 | (15) | (7) | (17) |
Instruments held under fair value option | 0 | 1 | 6 | 4 |
Litigation settlement awards | 0 | 2 | 38 | 13 |
Other gain (loss), net | 7 | 7 | 24 | 15 |
Noninterest gain (loss) | 14 | (6) | 61 | 13 |
Noninterest expense - | ||||
Compensation and benefits | 26 | 20 | 71 | 57 |
Operating expenses | 15 | 13 | 44 | 38 |
Other | 1 | 2 | 13 | 6 |
Noninterest expense | 42 | 35 | 128 | 101 |
Income before assessments | 85 | 80 | 277 | 280 |
Affordable Housing Program assessment | 9 | 8 | 28 | 28 |
Net income | $ 76 | $ 72 | $ 249 | $ 252 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 76 | $ 72 | $ 249 | $ 252 |
Other comprehensive income (loss) - | ||||
Net unrealized gain (loss) available-for-sale securities | (13) | (79) | (113) | (214) |
Non-credit OTTI held-to-maturity securities | 9 | 11 | 30 | 37 |
Net unrealized gain (loss) cash flow hedges | 83 | (31) | 38 | 8 |
Post-retirement plans | 0 | 1 | 1 | (7) |
Other comprehensive income (loss) | 79 | (98) | (44) | (176) |
Comprehensive income | $ 155 | $ (26) | $ 205 | $ 76 |
Statements of Stockholders' Equ
Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Capital Stock | Retained Earnings, Unrestricted | Retained Earnings, Restricted | Retained Earnings, Total | AOCI | Capital Stock - Putable - B1 Activity | Capital Stock - Putable - B2 Membership |
Shares, beginning at Dec. 31, 2014 | 19 | 8 | 11 | |||||
Balance, beginning at Dec. 31, 2014 | $ 4,525 | $ 1,902 | $ 2,152 | $ 254 | $ 2,406 | $ 217 | $ 827 | $ 1,075 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 76 | 202 | 50 | 252 | (176) | |||
Proceeds from issuance of capital stock (shares) | 3 | 3 | 0 | |||||
Proceeds from issuance of capital stock | 243 | $ 243 | $ 228 | $ 15 | ||||
Repurchases of capital stock (shares) | (3) | 0 | (3) | |||||
Repurchases of capital stock | (252) | $ (252) | $ (29) | $ (223) | ||||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) (shares) | 0 | 0 | 0 | |||||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) | (1) | $ (1) | $ 0 | $ (1) | ||||
Transfers between classes of capital stock (shares) | (1) | 1 | ||||||
Transfers between classes of capital stock | $ (60) | $ 60 | ||||||
Cash dividends - class B1 | (14) | (14) | (14) | |||||
Cash dividends - class B2 | (4) | (4) | (4) | |||||
Common Stock Dividend - Annualized Rate | 2.25% | 0.50% | ||||||
Total change in period (shares) | 0 | 2 | (2) | |||||
Total change in period | 48 | $ (10) | 184 | 50 | 234 | (176) | $ 139 | $ (149) |
Shares, ending at Sep. 30, 2015 | 19 | 10 | 9 | |||||
Balance, ending at Sep. 30, 2015 | 4,573 | $ 1,892 | 2,336 | 304 | 2,640 | 41 | $ 966 | $ 926 |
Shares, beginning at Dec. 31, 2015 | 19 | 13 | 6 | |||||
Balance, beginning at Dec. 31, 2015 | 4,652 | $ 1,950 | 2,407 | 323 | 2,730 | (28) | $ 1,313 | $ 637 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 205 | 198 | 51 | 249 | (44) | |||
Proceeds from issuance of capital stock (shares) | 10 | 10 | 0 | |||||
Proceeds from issuance of capital stock | 964 | $ 964 | $ 952 | $ 12 | ||||
Repurchases of capital stock (shares) | (9) | (6) | (3) | |||||
Repurchases of capital stock | (978) | $ (978) | $ (586) | $ (392) | ||||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) (shares) | (3) | (3) | 0 | |||||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) | (300) | $ (300) | $ (295) | $ (5) | ||||
Transfers between classes of capital stock (shares) | (3) | 3 | ||||||
Transfers between classes of capital stock | $ (321) | $ 321 | ||||||
Cash dividends - class B1 | (25) | (25) | (25) | |||||
Cash dividends - class B2 | (3) | (3) | (3) | |||||
Common Stock Dividend - Annualized Rate | 2.73% | 0.60% | ||||||
Total change in period (shares) | (2) | (2) | 0 | |||||
Total change in period | (137) | $ (314) | 170 | 51 | 221 | (44) | $ (250) | $ (64) |
Shares, ending at Sep. 30, 2016 | 17 | 11 | 6 | |||||
Balance, ending at Sep. 30, 2016 | $ 4,515 | $ 1,636 | $ 2,577 | $ 374 | $ 2,951 | $ (72) | $ 1,063 | $ 573 |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Operating | |||
Net cash provided by (used in) operating activities | $ 184 | $ 375 | |
Investing | |||
Net change Federal Funds sold | (2,105) | 805 | |
Net change securities purchased under agreements to resell | 375 | 0 | |
Trading securities - | |||
Sales | 2,158 | 0 | |
Proceeds from maturities and paydowns | 108 | 109 | |
Purchases | (2,156) | (101) | |
Available-for-sale securities - | |||
Proceeds from maturities and paydowns | 1,777 | 1,452 | |
Purchases | (2) | (12) | |
Held-to-maturity securities - | |||
Short-term held-to-maturity securities, net | [1] | 543 | 675 |
Proceeds from maturities and paydowns | 740 | 793 | |
Purchases | (30) | (16) | |
Advances - | |||
Principal collected | 548,381 | 251,066 | |
Issued | (554,570) | (253,574) | |
MPF Loans held in portfolio - | |||
Principal collected | 867 | 1,085 | |
Purchases | (759) | (117) | |
Other investing activities | 27 | 39 | |
Net cash provided by (used in) investing activities | (4,646) | 2,204 | |
Financing | |||
Net change deposits | (26) | (156) | |
Discount notes - | |||
Net proceeds from issuance | 438,057 | 210,023 | |
Payments for maturing and retiring | (440,500) | (203,798) | |
Consolidated obligation bonds - | |||
Net proceeds from issuance | 24,439 | 8,503 | |
Payments for maturing and retiring | (16,943) | (16,777) | |
Net proceeds (payments) on derivative contracts with financing element | (38) | (47) | |
Net proceeds (payments) on bond transfers with other FHLBs | 0 | (35) | |
Payments for retiring of subordinated debt | (944) | 0 | |
Capital stock - | |||
Proceeds from issuance of capital stock | 964 | 243 | |
Repurchase of capital stock | (978) | (252) | |
Cash dividends paid | (28) | (18) | |
Other financing activities | (9) | (1) | |
Net cash provided by (used in) financing activities | 3,994 | (2,315) | |
Net increase (decrease) in cash and due from banks | (468) | 264 | |
Cash and due from banks at beginning of period | 499 | 342 | |
Cash and due from banks at end of period | 31 | 606 | |
Noncash | |||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) | $ 300 | $ 1 | |
[1] | Short-term held-to-maturity securities, net, consists of investment securities with a maturity of less than 90 days when purchased. |
Background and Basis of Present
Background and Basis of Presentation | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] | Background and Basis of Presentation The Federal Home Loan Bank of Chicago is a federally chartered corporation and one of 11 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System). The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership. We are supervised and regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency in the executive branch of the United States (U.S.) government. Each FHLB is a member-owned cooperative with members from a specifically defined geographic district. Our defined geographic district is Illinois and Wisconsin. All federally-insured depository institutions, insurance companies engaged in residential housing finance, credit unions and community development financial institutions located in our district are eligible to apply for membership with us. All our members are required to purchase our capital stock as a condition of membership. Our capital stock is not publicly traded, and is issued, repurchased or redeemed at par value, $100 per share, subject to certain statutory and regulatory limits. As a cooperative, we do business with our members, and former members (under limited circumstances). Specifically, we provide credit principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance ® (MPF ® ) Program. Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and if material are disclosed in the following notes. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements and the following footnotes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, 2015 , included in our Annual Report on Form 10-K ( 2015 Form 10-K) starting on page F-1, as filed with the Securities and Exchange Commission (SEC). Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago. “Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and "Community First" are registered trademarks of the Federal Home Loan Bank of Chicago. Refer to the Glossary of Terms starting on page 63 for the definitions of certain terms used herein. Use of Estimates The preparation of financial statements in accordance with GAAP requires us to make assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these assumptions and estimates applies to fair value measurements and allowance for credit losses. Actual results could differ from these assumptions and estimates. Consolidation of Variable Interest Entities We would consolidate a variable interest entity if we determine that we are its primary beneficiary, which occurs when both conditions shown below are met. • We have the power to direct the activities of a variable interest entity that most significantly impact the entity’s economic performance. • We have the obligation to absorb losses of the entity that could potentially be significant to the variable interest entity or the right to receive benefits from the entity that could potentially be significant to the variable interest entity. We did not consolidate any of our investments in variable interest entities since we are not the primary beneficiary. We classify variable interest entities as investment securities in our statements of condition. Such investment securities include, but are not limited to, senior interests in private-label mortgage backed securities (MBS) and Federal Family Education Loan Program asset backed securities (FFELP ABS). Our maximum loss exposure for these investment securities is limited to their carrying amounts. We have no liabilities related to these investments in variable interest entities. We have not provided financial or other support (explicitly or implicitly) to these investment securities that we were not previously contractually required to provide, nor do we intend to provide such support in the future. Gross versus Net Presentation of Financial Instruments We present derivative assets and liabilities on a net basis in our statements of condition on the basis that our right to net amounts due to our clearing agents and/or our counterparties is enforceable at law upon early termination. We include accrued interest receivable/payable and cash collateral, including initial and variation margin, in the carrying amount of a derivative. Derivatives are netted by contract (e.g., master netting agreement), to discharge all or a portion of the amounts that would be owed to our counterparty by applying them against the amounts that our counterparty owes to us. Additionally, we clear certain derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO), through Futures Commission Merchants (FCM). If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or asset. Refer to Note 9 - Derivatives and Hedging Activities for further details. Our policy is to report securities purchased under agreements to resell and securities sold under agreements to repurchase, if any, and securities borrowing transactions, if any, on a gross basis. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our Summary of Significant Accounting Policies through December 31, 2015, can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K. We adopted the following policies in 2016: Simplifying the Presentation of Debt Issuance Cost (i.e., Concession Fees) In April of 2015, the FASB issued new guidance requiring any concession fee to be presented as a direct deduction from the debt it relates to rather than separately presented as a deferred cost in Other Assets. We retrospectively adopted the new guidance January 1, 2016 by reclassifying deferred concession fees from Other Assets to its related debt, which at the time of adoption included our Consolidated obligation discount notes, Consolidated obligation bonds and Subordinated notes. This reclassification did not have a material effect on our financial condition, results of operations, cash flows, or percentage net interest yield on our consolidated obligations at the time of adoption. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance had no effect on our financial condition, results of operations, or cash flows at the time of adoption. |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 9 Months Ended |
Sep. 30, 2016 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued but Not Yet Adopted Accounting Standards [Text Block] | Recently Issued but Not Yet Adopted Accounting Standards Classification of Certain Cash Receipts and Cash Payments in the Statement of Cash Flows I n August of 2016, the FASB issued statement of cash flows classification guidance governing certain cash receipts and cash payments. The new guidance becomes effective January 1, 2018, with earlier adoption permitted. The new guidance must be applied retrospectively to each period our statements of cash flows are presented at the time of adoption. Key provisions relevant to us are outlined below. Our existing practice is consistent with the provisions of the guidance outlined below pertaining to debt prepayment or extinguishment costs and the classification of accreted interest expense. We are in the process of reviewing the expected effect of the remaining provisions of the guidance on our financial condition, results of operations, and cash flows. • Cash payments for debt prepayment or extinguishment costs are classified as cash outflows for financing activities. • At settlement, the portion of the cash payment attributable to accreted interest expense is classified as cash outflows for operating activities, and the portion of the cash payment attributable to the principal would be classified as cash outflows for financing activities. The cash paid attributable to accreted interest expense also needs to be included in the supplemental disclosure of the amount of interest expense paid. • A transferor’s beneficial interest obtained in a securitization of financial assets is disclosed as a noncash activity. • Additional guidance is provided to clarify when an entity should separate cash receipts and cash payments and classify them into more than one class of cash flows and when an entity should classify the aggregate of those cash receipts and payments into one class of cash flows on the basis of predominance. Measurement of Credit Losses on Financial Instruments In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendments are expected to result in recognizing credit losses in the financial statements on a timelier basis by utilizing forward looking information. Key provisions of the amendments relevant to us are outlined below. • Replaces the “incurred loss” impairment methodology applied under current GAAP with an “expected credit losses” methodology. • The expected credit losses methodology requires us to estimate all credit losses on financial instruments carried on an amortized cost basis and off-balance-sheet credit exposures over their contractual term. On balance sheet financial instruments include, but are not limited to, advances, MPF Loans held in portfolio, and Held-to-maturity (HTM) securities. Off-balance-sheet credit exposure refers to unfunded credit exposures, such as standby letters of credit. • The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount. • Aligns the income statement recognition of credit losses for securities with the reporting period in which changes in collectability occur by recording credit losses (and subsequent reversals) through an allowance rather than a write-down as currently required under GAAP. • Requires recognition of a credit loss on available-for-sale (AFS) securities into the income statement if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost. • Expands upon the current credit quality disclosures by requiring further disaggregation of financial instruments by their year of origination. This disclosure is expected to help financial statement users better understand credit quality trends of asset portfolios. The amendments become effective January 1, 2020, with early adoption permitted effective January 1, 2019. We plan to implement the expected credit loss methodology through a cumulative-effect adjustment to our beginning retained earnings as of the first reporting period in which the new guidance becomes effective for us. The cumulative effect adjustment will equal the amount required to adjust our existing allowance for credit losses for our on balance-sheet financial instruments and other liabilities for our off-balance sheet financial instruments to the amounts determined under the expected credit losses methodology. A prospective transition approach is required for debt securities for which an other-than-temporary impairment had been recognized before our effective date. This means write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption. Instead, improvements in expected cash flows that exist at the time we adopt will continue to be accreted into income over the remaining life of the security. Additionally, recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received. We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows. Contingent Put and Call Options in Debt Instruments In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether a contingent call (put) option embedded in a debt instrument is clearly and closely related to that debt instrument, which is referred to as the "host contract". Specifically, entities no longer will be required to assess whether the event triggering the acceleration of an embedded contingent call (put) option within a debt instrument is clearly and closely related to its host contract. We plan to adopt the new guidance using the modified retrospective approach on January 1, 2017. The new guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption. Leases In February of 2016, the FASB issued new guidance pertaining to lease accounting. Key lessee accounting provisions relevant to us are outlined below. Our existing practice is to record our operating leases off-balance sheet. • Recognize operating leases and right-to-use assets in our statements of condition; however, we would be permitted to elect off-balance sheet recognition of such leases having a term of 12 months or less. • Recognize a single lease cost over the lease term on a straight-line basis. • Classify all cash payments within operating activities in our statement of cash flows. The new guidance becomes effective January 1, 2019. A modified retrospective transition approach is required to be applied to leases existing at, or entered into after, the beginning of the earliest comparative period presented in the financial statements. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows since our existing off-balance sheet operating leases are not material. Recognition and Measurement of Financial Assets and Financial Liabilities In January of 2016, the FASB issued new guidance governing recognition and measurement of financial assets and financial liabilities. The key provisions applicable to us include, but are not limited to, the following: • The ability to elect the fair value option will continue to be permitted. • Requires recognizing the portion of the total change in fair value of a liability resulting from a change in the instrument-specific credit risk in other comprehensive income when we elect to carry that liability at fair value under the fair value option. • Requires separate presentation of financial assets and financial liabilities by measurement category, such as amortized cost, and form, such as securities or loans, on our statements of condition or the accompanying notes to the financial statements. The new guidance becomes effective January 1, 2018. We are in the process of reviewing its expected effect on our financial condition, results of operations, and cash flows. Revenue from Contracts with Customers In May of 2014, the FASB issued new guidance governing revenue recognition from contracts with customers. In August of 2015, the FASB deferred the effective date of this new guidance until January 1, 2018. Subsequently, the FASB has issued several pronouncements that provide additional guidance and clarifications to the revenue recognition guidance issued in May of 2014. The new revenue recognition guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption because the majority of our financial instruments and other contractual rights are within the scope of other GAAP guidance; and accordingly, are excluded from the scope of this new revenue recognition guidance. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 9 Months Ended |
Sep. 30, 2016 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense Disclosure [Text Block] | Interest Income and Interest Expense The following table presents interest income and interest expense for the periods indicated: Three months ended September 30, Nine months ended September 30, 2016 2015 2016 2015 Interest income - Trading $ 2 $ — $ 7 $ 2 Available-for-sale 116 132 367 396 Held-to-maturity 56 63 171 201 Investment securities 174 195 545 599 Advance interest income 73 44 203 125 Advance prepayment fees 1 1 8 7 Advances 74 45 211 132 MPF Loans held in portfolio 53 62 165 197 Other interest bearing assets 8 2 23 6 Interest income 309 304 944 934 Interest expense - Discount notes 95 72 272 216 Bonds 99 96 299 304 Consolidated obligations 194 168 571 520 Subordinated notes — 14 24 41 Other interest bearing liabilities 2 — 5 — Interest expense 196 182 600 561 Net interest income 113 122 344 373 Provision for (reversal of) credit losses — 1 — 5 Net interest income after provision for (reversal of) credit losses $ 113 $ 121 $ 344 $ 368 |
Investment Securities
Investment Securities | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities [Text Block] | Investment Securities We classify securities as either trading, held-to-maturity (HTM), or available-for-sale (AFS). Our security disclosures within these classifications are disaggregated by major security types as shown below. Our major security types are based on the nature and risks of the security. • U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by government sponsored enterprises (GSE); and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority. • Federal Family Education Loan Program - asset backed securities (FFELP ABS). • GSE residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac. • Government-guaranteed MBS. • Private-label residential MBS. • State or local housing agency obligations. Pledged Collateral We disclose the amount of investment securities pledged as collateral pertaining to our derivatives activity on our statements of condition. Also see Note 9 - Derivatives and Hedging Activities for further details. Trading Securities The following table presents the fair value of our trading securities. We did not hold a material amount of securities we issued through our MPF Government MBS product as of the dates presented. We had no material unrealized gains or losses on trading securities. As of September 30, 2016 December 31, 2015 U.S. Government & other government related $ 1,003 $ 1,108 Residential MBS: GSE 42 50 Government-guaranteed 2 2 Residential MBS 44 52 Trading securities $ 1,047 $ 1,160 Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS) Amortized Cost Basis Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Carrying Amount and Fair Value As of September 30, 2016 U.S. Government & other government related $ 350 $ 20 $ (3 ) $ 367 State or local housing agency 19 1 — 20 FFELP ABS 4,561 158 (25 ) 4,694 Residential MBS: GSE 8,578 353 (9 ) 8,922 Government-guaranteed 1,457 43 — 1,500 Private-label 51 7 — 58 Residential MBS 10,086 403 (9 ) 10,480 Available-for-sale securities $ 15,016 $ 582 $ (37 ) $ 15,561 As of December 31, 2015 U.S. Government & other government related $ 405 $ 21 $ (4 ) $ 422 State or local housing agency 18 — — 18 FFELP ABS 5,090 233 (24 ) 5,299 Residential MBS: GSE 9,427 383 (12 ) 9,798 Government-guaranteed 1,811 57 — 1,868 Private-label 61 4 — 65 Residential MBS 11,299 444 (12 ) 11,731 Available-for-sale securities $ 16,812 $ 698 $ (40 ) $ 17,470 Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM) Amortized Cost Basis Non-credit OTTI Recognized in AOCI (Loss) Carrying Amount Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of September 30, 2016 U.S. Government & other government related $ 1,271 $ — $ 1,271 $ 74 $ — $ 1,345 State or local housing agency 13 — 13 — — 13 Residential MBS: GSE 1,928 — 1,928 133 — 2,061 Government-guaranteed 834 — 834 13 — 847 Private-label 929 (187 ) 742 301 (1 ) 1,042 Residential MBS 3,691 (187 ) 3,504 447 (1 ) 3,950 Held-to-maturity securities $ 4,975 $ (187 ) $ 4,788 $ 521 $ (1 ) $ 5,308 As of December 31, 2015 U.S. Government & other government related $ 1,932 $ — $ 1,932 $ 64 $ (1 ) $ 1,995 State or local housing agency 16 — 16 — — 16 Residential MBS: GSE 2,163 — 2,163 134 — 2,297 Government-guaranteed 969 — 969 16 — 985 Private-label 1,104 (217 ) 887 334 (1 ) 1,220 Residential MBS 4,236 (217 ) 4,019 484 (1 ) 4,502 Held-to-maturity securities $ 6,184 $ (217 ) $ 5,967 $ 548 $ (2 ) $ 6,513 Aging of Unrealized Temporary Losses The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported. Available-for-Sale Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) As of September 30, 2016 U.S. Government & other government related $ — $ — $ 86 $ (3 ) $ 86 $ (3 ) State or local housing agency 1 — — — 1 — FFELP ABS — — 774 (25 ) 774 (25 ) Residential MBS: GSE 658 — 1,217 (9 ) 1,875 (9 ) Government-guaranteed 24 — — — 24 — Private-label — — 1 — 1 — Residential MBS 682 — 1,218 (9 ) 1,900 (9 ) Available-for-sale securities $ 683 $ — $ 2,078 $ (37 ) $ 2,761 $ (37 ) As of December 31, 2015 U.S. Government & other government related $ 30 $ (1 ) $ 45 $ (3 ) $ 75 $ (4 ) State or local housing agency 4 — — — 4 — FFELP ABS 64 (1 ) 787 (23 ) 851 (24 ) Residential MBS: GSE 1,081 (3 ) 1,006 (9 ) 2,087 (12 ) Government-guaranteed 90 — — — 90 — Private-label — — 8 — 8 — Residential MBS 1,171 (3 ) 1,014 (9 ) 2,185 (12 ) Available-for-sale securities $ 1,269 $ (5 ) $ 1,846 $ (35 ) $ 3,115 $ (40 ) Held-to-Maturity Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) As of September 30, 2016 U.S. Government & other government related $ — $ — $ 16 $ — $ 16 $ — State or local housing agency 9 — 1 — 10 — Residential MBS: GSE 4 — — — 4 — Private-label — — 1,000 (188 ) 1,000 (188 ) Residential MBS 4 — 1,000 (188 ) 1,004 (188 ) Held-to-maturity securities $ 13 $ — $ 1,017 $ (188 ) $ 1,030 $ (188 ) As of December 31, 2015 U.S. Government & other government related $ 606 $ — $ 16 $ (1 ) $ 622 $ (1 ) State or local housing agency 1 — 10 — 11 — Residential MBS: GSE 4 — — — 4 — Private-label — — 1,167 (218 ) 1,167 (218 ) Residential MBS 4 — 1,167 (218 ) 1,171 (218 ) Held-to-maturity securities $ 611 $ — $ 1,193 $ (219 ) $ 1,804 $ (219 ) Contractual Maturity Terms The following table primarily presents the amortized cost basis and fair value of U.S. Government & other government related AFS and HTM securities by contractual maturity. ABS and MBS securities are excluded since their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans. Available-for-Sale Held-to-Maturity As of September 30, 2016 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 17 $ 17 $ 176 $ 177 Due after one year through five years 44 46 285 298 Due after five years through ten years 30 32 86 88 Due after ten years 278 292 737 795 ABS and MBS without a single maturity date 14,647 15,174 3,504 3,950 Total securities $ 15,016 $ 15,561 $ 4,788 $ 5,308 Other-Than-Temporary Impairment Analysis We had no OTTI for the periods presented based on the significant inputs, key modeling assumptions, and methodologies outlined below. We assess an HTM or AFS private-label MBS security for OTTI whenever its fair value is less than its amortized cost basis as of the reporting date. Specifically, we determine OTTI, if any, by performing a cash flow analysis for substantially all of these private-label MBS securities utilizing two independent third party models, which are described further below. Our analysis generates cash flow projections utilizing significant inputs, key modeling assumptions, and methodologies provided by the FHLB System OTTI Committee, which was established to achieve consistent OTTI analyses for private-label MBS among FHLBs. We are still responsible, however, for making our own OTTI determination, which involves determining the reasonableness of these significant inputs, assumptions, and methodologies, as well as performing the required present value calculations using appropriate historical cost bases and yields. We then utilize these cash flow projections to determine if OTTI exists on our private-label MBS. • First model. This model considers borrower characteristics and the particular attributes of the loans underlying the securities, in conjunction with assumptions about future changes in home prices and interest rates, prepayment rates, default rates, and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (CBSAs), which are based upon an assessment of the individual housing markets. Outputs from this first model are then used as inputs by the second model as follows. • Second model. This model uses the month-by-month projections of future loan performance derived from the first model and allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. As of September 30, 2016 , we had a short-term housing price forecast over all markets with projected changes ranging from -1.0% to +10.0% over the twelve month period beginning July 1, 2016. For the vast majority of markets, the short-term forecast has changes ranging from +3.0% to +6.0% . The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses (recognized into earnings) on investment securities for the reporting periods indicated. Three months ended September 30, Nine months ended September 30, 2016 2015 2016 2015 Beginning Balance $ 542 $ 591 $ 568 $ 620 Reductions: Increases in expected future cash flows recorded as accretion into interest income (11 ) (12 ) (37 ) (41 ) Ending Balance $ 531 $ 579 $ 531 $ 579 Ongoing Litigation On October 15, 2010, we instituted litigation relating to 64 private-label MBS bonds we purchased in an aggregate original principal amount of $4.29 billion . In April 2016, we received a payment of $37.5 million (partially offset by $5.0 million of related legal fees and other expenses) resulting from a settlement with some of the defendants. As of September 30, 2016 , the remaining litigation covers four private-label MBS bonds in the aggregate original principal amount of $77.5 million . |
Advances
Advances | 9 Months Ended |
Sep. 30, 2016 | |
Federal Home Loan Banks [Abstract] | |
Advances [Text Block] | Advances We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents our advances by terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of September 30, 2016 Weighted Average Contractual Interest Rate Amount Due in one year or less 0.60 % $ 12,719 One to two years 0.77 % 8,966 Two to three years 0.56 % a 7,283 Three to four years 0.58 % a 8,120 Four to five years 1.34 % 1,536 More than five years 1.67 % 4,168 Par value 0.76 % $ 42,792 a The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates. See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses. The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated. As of September 30, 2016 December 31, 2015 Par value $ 42,792 $ 36,605 Fair value hedging adjustments 300 159 Other adjustments 25 14 Advances $ 43,117 $ 36,778 The following advance borrowers exceeded 10% of our total advances outstanding: As of September 30, 2016 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 26 % BMO Harris Bank, N.A. 4,875 11 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans
MPF Loans | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
MPF Loans [Text Block] | MPF Loans Held in Portfolio We acquire MPF Loans from PFIs to hold in our portfolio, and in some cases we purchased participations in pools of eligible mortgage loans from other FHLBs (MPF Banks). MPF Loans that are held in portfolio are fixed-rate conventional and government mortgage loans secured by one-to-four family residential properties with maturities ranging from 5 years to 30 years or participations in pools of similar eligible mortgage loans from other MPF Banks. The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. As of September 30, 2016 December 31, 2015 Medium term (15 years or less) $ 448 $ 662 Long term (greater than 15 years) 4,209 4,112 Unpaid principal balance 4,657 4,774 Net premiums, credit enhancement and deferred loan fees 36 20 Fair value hedging adjustments 30 37 MPF Loans held in portfolio, before allowance for credit losses 4,723 4,831 Allowance for credit losses on MPF Loans (3 ) (3 ) MPF Loans held in portfolio, net $ 4,720 $ 4,828 Conventional mortgage loans $ 3,543 $ 3,568 Government Loans 1,114 1,206 Unpaid principal balance $ 4,657 $ 4,774 See Note 8 - Allowance for Credit Losses to the financial statements for information related to our credit losses on MPF Loans held in portfolio. In addition to our portfolio MPF Products, PFIs sell eligible MPF Loans to us through the MPF Program infrastructure and we concurrently sell them to third party investors or hold MPF Loans in our held for sale portfolio in other assets for a short period of time until such loans are pooled into MBS. |
Allowance for Credit Losses
Allowance for Credit Losses | 9 Months Ended |
Sep. 30, 2016 | |
Receivables [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses See Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K for further details pertaining to the methodologies and factors we consider when determining the amount to recognize as an allowance for credit losses, if any, for each portfolio segment identified below. We have identified our portfolio segments as shown below: • Member credit products (advances, letters of credit and other extensions of credit to borrowers); • Conventional MPF Loans held in portfolio; • Government Loans held in portfolio; and • Federal Funds Sold and Securities Purchased Under Agreements to Resell. Member Credit Products We have not recorded any allowance for credit losses for our member credit products portfolio segment based upon our credit analysis and the repayment history on member credit products. We had no member credit products that were past due, on nonaccrual status, involved in a troubled debt restructuring or otherwise considered impaired. We have not recorded a separate liability to reflect credit losses on our member credit products with off-balance sheet credit exposure. Conventional MPF Loans Held in Portfolio For further detail of our MPF Risk Sharing Structure see page F-14 in our 2015 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2015 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. Recorded investment in a conventional MPF Loan is its amortized cost basis plus related accrued interest receivable, if any. Recorded investment is not net of its allowance for credit losses but is net of any direct charge-off on the conventional MPF Loan. As of September 30, 2016 December 31, 2015 Recorded investment in conventional MPF Loans - Individually evaluated for impairment $ 78 $ 107 Collectively evaluated for impairment 3,533 3,519 Recorded investment $ 3,611 $ 3,626 Allowance for credit losses on conventional MPF Loans - Homogeneous pools of loans collectively evaluated for impairment $ 3 $ 3 Government Loans Held in Portfolio Servicing PFIs are responsible for absorbing any losses incurred on Government Loans held in portfolio that are not recovered from the government insurer or guarantor. We did not establish an allowance for credit losses on our Government Loans held in portfolio for the reporting periods presented based on our assessment that our servicing PFIs have the ability to absorb such losses. Further, Government Loans were not placed on nonaccrual status or disclosed as troubled debt restructurings for the same reason. Credit Quality Indicators - MPF Loans Held in Portfolio The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include: • "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation. • "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as Primary Mortgage Insurance, of a financially responsible party) and in the process of collection. September 30, 2016 December 31, 2015 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 81 $ 53 $ 134 $ 99 $ 63 $ 162 Past due 60-89 days 26 17 43 32 21 53 Past due 90 days or more 71 21 92 100 15 115 Past due 178 91 269 231 99 330 Current 3,433 1,044 4,477 3,395 1,130 4,525 Recorded investment $ 3,611 $ 1,135 $ 4,746 $ 3,626 $ 1,229 $ 4,855 In process of foreclosure $ 36 $ 5 $ 41 $ 51 $ 3 $ 54 Serious delinquency rate 2.02 % 1.87 % 1.98 % 2.77 % 1.23 % 2.38 % Past due 90 days or more still accruing interest $ 7 $ 21 $ 28 $ 10 $ 15 $ 25 On nonaccrual status $ 78 $ — $ 78 $ 107 $ — $ 107 Individually Evaluated Impaired MPF Loans The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off. As of September 30, 2016 December 31, 2015 Recorded investment without an allowance for credit losses $ 78 $ 107 Unpaid principal balance without an allowance for credit losses 84 117 The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans. Three months ended September 30, Nine months ended September 30, 2016 2015 2016 2015 Average recorded investment without allowance for credit losses $ 81 $ 118 $ 89 $ 132 Term Federal Funds Sold and Term Securities Purchased Under Agreements to Resell We only had credit risk exposure to overnight Federal Funds sold and Securities Purchased Under Agreements to Resell as of September 30, 2016 , and December 31, 2015 . We did not have any term Federal Funds sold and Securities Purchased Under Agreements to Resell arrangements. We did not establish an allowance for credit losses for our overnight Federal Funds sold since all Federal Funds sold were repaid according to their contractual terms. We also did not establish an allowance for credit losses for overnight Securities Purchased Under Agreements to Resell since all payments due under the contractual terms have been received and we hold sufficient underlying collateral. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Refer to Note 2 - Summary of Significant Accounting Policies in our 2015 Form 10-K for our accounting policies for derivatives. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Derivative transactions may be entered into through an over-the-counter bilateral agreement with an individual counterparty. Additionally, we clear some derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM), a clearing member of the DCO. We are not a derivatives dealer and do not trade derivatives for speculative purposes. Managing Credit Risk on Derivative Agreements We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. For bilateral derivative agreements, the degree of counterparty risk depends on the extent to which master netting arrangements, collateral requirements and other credit enhancements are included in such contracts to mitigate the risk. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and FHFA regulations. We require collateral agreements on all derivatives that establish collateral delivery thresholds. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and held by the member institution for our benefit. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. See Note 16 - Fair Value to the financial statements in our 2015 Form 10-K for discussion regarding our fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. Our over-the-counter bilateral derivative agreements may contain provisions that require us to post additional collateral with our counterparties if there is deterioration in our credit rating, except for those derivative agreements with a zero unsecured collateral threshold for both parties, in which case positions are required to be fully collateralized regardless of credit rating. If our credit rating is lowered by a major credit rating agency, such as Standard and Poor's or Moody’s, we would be required to deliver additional collateral on derivatives in net liability positions. If our credit rating had been lowered from its current rating to the next lower rating, we would have been required to deliver up to an additional $43 million of collateral at fair value to our derivatives counterparties at September 30, 2016 . Cleared swaps are subject to variation and initial margin requirements established by the DCO and its clearing members. We post variation and initial margin through the FCM, on behalf of the DCO, which could expose us to institutional credit risk in the event that an FCM or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through an FCM. The DCO determines initial margin requirements for cleared derivatives. In this regard, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at September 30, 2016 . We present our derivative assets and liabilities on a net basis in our statements of condition. Refer to Note 1 - Background and Basis of Presentation for further discussion. In addition to the cash collateral as noted in the following table, we also pledged $90 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at September 30, 2016 . The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements. September 30, 2016 December 31, 2015 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate swaps $ 24,256 $ 40 $ 1,156 $ 25,140 $ 30 $ 1,082 Derivatives not in hedge accounting relationships- Interest rate swaps 36,692 514 414 28,866 456 341 Interest rate swaptions 550 56 — 1,270 40 — Interest rate caps or floors 1,129 51 — 1,131 76 — Mortgage delivery commitments 1,178 1 1 479 1 1 Other 127 1 — 121 — — Derivatives not in hedge accounting relationships 39,676 623 415 31,867 573 342 Gross derivative amount before adjustments $ 63,932 663 1,571 $ 57,007 603 1,424 Netting adjustments and cash collateral (642 ) a (1,523 ) a (601 ) a (1,369 ) a Derivatives on statements of condition $ 21 $ 48 $ 2 $ 55 a Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016 , and December 31, 2015 , and cash collateral received was $29 million and $25 million . The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset. Derivative Assets Derivative Liabilities As of September 30, 2016 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 485 $ 177 $ 662 $ 998 $ 572 $ 1,570 Netting adjustments and cash collateral (483 ) (159 ) (642 ) (951 ) (572 ) (1,523 ) Derivatives with legal right of offset - net 2 18 20 47 — 47 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 3 18 21 48 — 48 Cash collateral for initial margin (1 ) (1 ) Noncash collateral received (pledged) and cannot be sold or repledged 1 (71 ) a (70 ) — — — Net amount $ 2 $ 90 $ 92 $ 48 $ — $ 48 As of December 31, 2015 Derivatives with legal right of offset - Gross recognized amount $ 509 $ 93 $ 602 $ 1,182 $ 241 $ 1,423 Netting adjustments and cash collateral (508 ) (93 ) (601 ) (1,140 ) (229 ) (1,369 ) Derivatives with legal right of offset - net 1 — 1 42 12 54 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 43 12 55 Noncash collateral received (pledged) and cannot be sold or repledged — — — — 12 12 Net amount $ 2 $ — $ 2 $ 43 $ — $ 43 a Represents noncash collateral pledged for initial margin for cleared derivatives. At September 30, 2016 , we had $19 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015 . The following table presents the gains (losses) of derivatives and hedging activities as presented in the statements of income. Three months ended September 30, Nine months ended September 30, For the periods ending 2016 2015 2016 2015 Fair value hedges - Interest rate swaps $ 5 $ (17 ) $ (7 ) $ (30 ) Fair value hedges 5 (17 ) (7 ) (30 ) Cash flow hedges — 1 4 2 Economic hedges - Interest rate swaps (1 ) (14 ) (40 ) (43 ) Interest rate swaptions (2 ) 4 16 7 Interest rate caps or floors (14 ) (4 ) (25 ) (12 ) Net interest settlements 16 16 44 60 Other 3 (1 ) 1 (1 ) Economic hedges 2 1 (4 ) 11 Gains (losses) on derivatives and hedging activities $ 7 $ (15 ) $ (7 ) $ (17 ) Fair Value Hedges The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. On Derivative On Hedged Item Total Ineffectiveness Recognized in Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended September 30, 2016 Available-for-sale securities $ 51 $ (50 ) $ 1 $ (31 ) Advances 35 (34 ) 1 (17 ) MPF Loans held for portfolio — — — (2 ) Consolidated obligation bonds (34 ) 37 3 12 Total $ 52 $ (47 ) $ 5 $ (38 ) Three months ended September 30, 2015 Available-for-sale securities $ (40 ) $ 29 $ (11 ) $ (33 ) Advances (77 ) 78 1 (22 ) MPF Loans held for portfolio — — — (4 ) Consolidated obligation bonds 87 (94 ) (7 ) 54 Total $ (30 ) $ 13 $ (17 ) $ (5 ) Nine months ended September 30, 2016 Available-for-sale securities $ (4 ) $ — $ (4 ) $ (93 ) Advances (143 ) 143 — (57 ) MPF Loans held for portfolio — — — (7 ) Consolidated obligation bonds 42 (45 ) (3 ) 51 Total $ (105 ) $ 98 $ (7 ) $ (106 ) Nine months ended September 30, 2015 Available-for-sale securities $ (28 ) $ 15 $ (13 ) $ (111 ) Advances (49 ) 49 — (63 ) MPF Loans held for portfolio — — — (11 ) Consolidated obligation bonds 117 (134 ) (17 ) 169 Total $ 40 $ (70 ) $ (30 ) $ (16 ) Cash Flow Hedges We reclassify amounts in AOCI into our statements of income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued hedges. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were $(8) million as of September 30, 2016 . The maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is 4 years . The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. Ineffective Portion Recorded in Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended September 30, 2016 Advances Interest rate floors $ — $ — $ 1 Discount notes Interest rate swaps — 84 (49 ) Total $ — $ 84 $ (48 ) Three months ended September 30, 2015 Advances Interest rate floors $ — $ — $ 2 Discount notes Interest rate swaps 1 (29 ) (62 ) Total $ 1 $ (29 ) $ (60 ) Nine months ended September 30, 2016 Advances Interest rate floors $ — $ — $ 7 Discount notes Interest rate swaps 4 46 (147 ) Bonds Interest rate swaps — — (2 ) Total $ 4 $ 46 $ (142 ) Nine months ended September 30, 2015 Advances Interest rate floors $ — $ — $ 8 Discount notes Interest rate swaps 2 14 (187 ) Bonds Interest rate swaps — — (2 ) Total $ 2 $ 14 $ (181 ) |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | Consolidated Obligations The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated bonds may range from less than one year to over 20 years , but they are not subject to any statutory or regulatory limits on maturity. The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of September 30, 2016 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 9,756 1.16 % $ 20,922 One to two years 7,686 1.31 % 4,460 Two to three years 4,591 1.26 % 3,105 Three to four years 979 1.28 % 474 Four to five years 2,808 1.99 % 363 Thereafter 4,354 2.85 % 850 Par value $ 30,174 1.54 % $ 30,174 The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of September 30, 2016 December 31, 2015 Carrying Amount $ 39,144 $ 41,564 Par Value 39,164 41,584 Weighted Average Interest Rate 0.39 % 0.22 % The following table presents consolidated obligation bonds outstanding by call feature: As of September 30, 2016 December 31, 2015 Noncallable $ 18,288 $ 10,148 Callable 11,886 12,536 Par value 30,174 22,684 Fair value hedging adjustments (49 ) (101 ) Other adjustments 14 (1 ) Consolidated obligation bonds $ 30,139 $ 22,582 The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of September 30, 2016 , and December 31, 2015 . Refer to Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K for further details. September 30, 2016 December 31, 2015 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 532,920 $ 434,808 $ 967,728 $ 410,859 $ 494,343 $ 905,202 FHLB Chicago as primary obligor 30,174 39,164 69,338 22,684 41,584 64,268 As a percent of the FHLB System 6 % 9 % 7 % 6 % 8 % 7 % |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 9 Months Ended |
Sep. 30, 2016 | |
Capital [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Capital and Mandatorily Redeemable Capital Stock (MRCS) Under our Capital Plan our stock consists of two sub-classes of stock, Class B1 activity stock and Class B2 membership stock (together, Class B stock), both with a par value of $100 and redeemable on five years ' written notice, subject to certain conditions. Under the Capital Plan, each member is required to own capital stock in an amount equal to the greater of a membership stock requirement or an activity stock requirement. Class B1 activity stock is available for purchase only to support a member ' s activity stock requirement. Class B2 membership stock is available to be purchased to support a member ' s membership stock requirement and any activity stock requirement. Minimum Capital Requirements For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-42 of our 2015 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. September 30, 2016 December 31, 2015 Requirement Actual Requirement Actual Risk-based capital $ 971 $ 4,889 $ 1,027 $ 4,688 Total regulatory capital $ 2,999 $ 4,889 $ 2,827 $ 4,688 Total regulatory capital ratio 4.00 % 6.52 % 4.00 % 6.63 % Leverage capital $ 3,749 $ 7,332 $ 3,534 $ 7,032 Leverage capital ratio 5.00 % 9.78 % 5.00 % 9.95 % Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. The following members' regulatory capital stock exceeded 10% of our total regulatory capital stock outstanding: As of September 30, 2016 Regulatory Capital Stock Outstanding % of Total Outstanding One Mortgage Partners Corp. $ 245 a 13 % BMO Harris Bank, N.A. $ 219 11 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. Transfer of Capital Stock to Mandatorily Redeemable Capital Stock (MRCS) During the first quarter of 2016, we transferred $294 million of our captive insurance company members' capital stock from equity to MRCS in liabilities on our statement of condition. The transfer was triggered by the issuance of the final FHFA rule on FHLB membership making captive insurance companies ineligible for FHLB membership, which was issued on January 20, 2016 and became effective February 19, 2016. Under this rule, our three captive insurance company members will have their memberships terminated by February 2021. The transfer from equity to MRCS in liabilities was required because the new rule creates an unconditional obligation requiring us to redeem our capital stock from our captive insurance company members after their membership terminates. We reclassify our capital stock from equity to MRCS in liabilities at fair value, which is its par value plus any dividends related to the capital stock. Par value represents fair value since our capital stock can only be acquired and redeemed or repurchased at par value. Further, our capital stock is not traded and no market mechanism exists for the exchange of stock outside our cooperative structure. Upon reclassification to MRCS, subsequent dividends are accrued at the expected dividend rate and reported as a component of interest expense in our statements of income. Excess Capital Stock In February 2016, we announced significant reductions in our membership stock and activity stock requirements, which went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of September 30, 2016, we held excess capital stock of $419 million . The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income (Loss) [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table summarizes the gains (losses) in AOCI for the reporting periods indicated. Net Unrealized - Non-credit OTTI - Net Unrealized - Cash Flow Hedges Available-for-sale Securities Held-to-maturity Securities Post-Retirement Plans AOCI Three months ended September 30, 2016 Beginning balance $ 558 $ (196 ) $ (508 ) $ (5 ) $ (151 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (13 ) 9 84 — 80 Amounts reclassified in period to statements of income: Net interest income — — (1 ) (1 ) Other comprehensive income in the period (13 ) 9 83 — 79 Ending balance $ 545 $ (187 ) $ (425 ) $ (5 ) $ (72 ) Three months ended September 30, 2015 Beginning balance $ 925 $ (238 ) $ (541 ) $ (7 ) $ 139 Change in the period recorded to the statements of condition, before reclassifications to statements of income (79 ) 11 (29 ) 1 (96 ) Amounts reclassified in period to statements of income: Net interest income — — (1 ) (1 ) Non-interest gain (loss) — — (1 ) (1 ) Other comprehensive income in the period (79 ) 11 (31 ) 1 (98 ) Ending balance $ 846 $ (227 ) $ (572 ) $ (6 ) $ 41 Nine months ended September 30, 2016 Beginning balance $ 658 $ (217 ) $ (463 ) $ (6 ) $ (28 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (113 ) 30 46 1 (36 ) Amounts reclassified in period to statements of income: Net interest income — — (4 ) (4 ) Non-interest gain (loss) — — (4 ) (4 ) Other comprehensive income in the period (113 ) 30 38 1 (44 ) Ending balance $ 545 $ (187 ) $ (425 ) $ (5 ) $ (72 ) Nine months ended September 30, 2015 Beginning balance $ 1,060 $ (264 ) $ (580 ) $ 1 $ 217 Change in the period recorded to the statements of condition, before reclassifications to statements of income (214 ) 37 14 (7 ) (170 ) Amounts reclassified in period to statements of income: Net interest income — — (4 ) (4 ) Non-interest gain (loss) — — (2 ) (2 ) Other comprehensive income in the period (214 ) 37 8 (7 ) (176 ) Ending balance $ 846 $ (227 ) $ (572 ) $ (6 ) $ 41 |
Fair Value Accounting
Fair Value Accounting | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Fair Value Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Refer to Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K for our fair value measurement policies. For a description of the valuation techniques and significant inputs see Note 16 - Fair Value to the financial statements in our 2015 Form 10-K. The following tables are a summary of the fair value estimates and related levels in the fair value hierarchy. The carrying amounts are as recorded in the statements of condition. These tables do not represent an estimate of our overall market value as a going concern; as they do not take into account future business opportunities and future net profitability of assets and liabilities. We had no transfers between levels in the fair value hierarchy for the periods shown. The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis. Carrying Amount Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 September 30, 2016 Financial Assets - Cash and due from banks $ 31 $ 31 $ 31 $ — $ — Interest bearing deposits 650 650 650 — — Federal Funds sold 3,807 3,807 — 3,807 — Securities purchased under agreements to resell 1,000 1,000 — 1,000 — Held-to-maturity securities 4,788 5,308 — 4,266 1,042 Advances 43,117 43,149 — 43,149 — MPF Loans held in portfolio, net 4,720 5,032 — 5,007 25 Financial Liabilities - Deposits (512 ) (512 ) — (512 ) — Consolidated obligation discount notes (39,144 ) (39,146 ) — (39,146 ) — Consolidated obligation bonds (30,139 ) (30,594 ) — (30,594 ) — Mandatorily redeemable capital stock (302 ) (302 ) (302 ) — — December 31, 2015 Financial Assets - Cash and due from banks $ 499 $ 499 $ 499 $ — $ — Interest bearing deposits 650 650 650 — — Federal Funds sold 1,702 1,702 — 1,702 — Securities purchased under agreements to resell 1,375 1,375 — 1,375 — Held-to-maturity securities 5,967 6,513 — 5,293 1,220 Advances 36,778 36,736 — 36,736 — MPF Loans held in portfolio, net 4,828 5,190 — 5,155 35 Financial Liabilities - Deposits (538 ) (538 ) — (538 ) — Consolidated obligation discount notes (41,564 ) (41,563 ) — (41,563 ) — Consolidated obligation bonds (22,582 ) (22,986 ) — (22,931 ) (55 ) a Mandatorily redeemable capital stock (8 ) (8 ) (8 ) — — Subordinated notes (944 ) (966 ) — (966 ) — a Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. The Netting adjustment shown in the table reflects our policy of presenting derivative assets and liabilities on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation and Note 9 - Derivatives and Hedging Activities for further details. Advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale resulted from our electing the fair value option. September 30, 2016 Level 2 Level 3 Netting Fair Value Financial assets - U.S. Government & other government related non-MBS $ 1,003 $ — $ 1,003 GSE residential MBS 42 — 42 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 1,047 — 1,047 U.S. Government & other government related non-MBS 367 — 367 State or local housing agency non-MBS 20 — 20 FFELP ABS 4,694 — 4,694 GSE residential MBS 8,922 — 8,922 U.S. Government-guaranteed residential MBS 1,500 — 1,500 Private-label residential MBS — 58 58 Available-for-sale securities 15,503 58 15,561 Advances 703 — 703 Derivative assets 663 — $ (642 ) 21 Other assets - Mortgage loans held for sale 58 — 58 Financial assets at fair value $ 17,974 $ 58 $ (642 ) $ 17,390 Financial liabilities - Consolidated obligation discount notes $ (12,537 ) $ — $ (12,537 ) Consolidated obligation bonds (7,058 ) — (7,058 ) Derivative liabilities (1,571 ) — $ 1,523 (48 ) Financial liabilities at fair value $ (21,166 ) $ — $ 1,523 $ (19,643 ) December 31, 2015 Financial assets - U.S. Government & other government related non-MBS $ 1,108 $ — $ 1,108 GSE residential MBS 50 — 50 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 1,160 — 1,160 U.S. Government & other government related non-MBS 422 — 422 State or local housing agency non-MBS 18 — 18 FFELP ABS 5,299 — 5,299 GSE residential MBS 9,798 — 9,798 U.S. Government-guaranteed residential MBS 1,868 — 1,868 Private-label residential MBS — 65 65 Available-for-sale securities 17,405 65 17,470 Advances 511 — 511 Derivative assets 598 5 $ (601 ) 2 Other assets - Mortgage loans held for sale 54 — 54 Financial assets at fair value $ 19,728 $ 70 $ (601 ) $ 19,197 Financial liabilities - Consolidated obligation discount notes $ (9,006 ) $ — $ (9,006 ) Consolidated obligation bonds (952 ) (55 ) a (1,007 ) Derivative liabilities (1,424 ) — $ 1,369 (55 ) Financial liabilities at fair value $ (11,382 ) $ (55 ) $ 1,369 $ (10,068 ) a Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. Fair Value Option We elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, discount notes, and consolidated obligation bonds, in cases where hedge accounting treatment may not be achieved. Specifically, hedge accounting may not be achieved in cases where it may be difficult to pass prospective or retrospective effectiveness testing under derivative hedge accounting guidance even though the derivatives used to hedge these financial instruments have matching terms. Accordingly, electing the fair value option allows us to better match the change in fair value of these financial instruments with the derivative economically hedging them. The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. September 30, 2016 December 31, 2015 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 689 $ 7,047 $ 509 $ 953 Fair value over (under) UPB 14 11 2 (1 ) Fair value $ 703 $ 7,058 $ 511 $ 952 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies The following table shows our commitments outstanding, which represent off-balance sheet obligations. September 30, 2016 December 31, 2015 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 748 $ — $ 748 $ 105 $ — $ 105 Unsettled consolidated obligation discount notes 500 — 500 — — — Member standby letters of credit 8,283 2,140 a 10,423 5,063 1,615 a 6,678 Housing authority standby bond purchase agreements 46 262 308 49 362 411 Advance commitments 45 1 46 163 5 168 MPF delivery commitments 632 — 632 279 — 279 Other commitments 28 — 28 48 3 51 Commitments $ 10,282 $ 2,403 $ 12,685 $ 5,707 $ 1,985 $ 7,692 a Contains $372 million and $637 million of member standby letters of credit at September 30, 2016 , and December 31, 2015 , which were renewable annually. For a description of previously defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K. |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 9 Months Ended |
Sep. 30, 2016 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties and Other FHLBs [Text Block] | Transactions with Related Parties and Other FHLBs We define related parties as members that own 10% or more of our capital stock or members whose officers or directors also serve on our Board of Directors. Capital stock ownership is a prerequisite to transacting any member business with us. Members and former members own all of our capital stock. In the normal course of business, we extend credit to or enter into other transactions with these related parties. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other members who are not considered related parties. Members The following table summarizes balances we had with our members who are related parties as defined above (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership or percentage of capital stock ownership over 10% as noted in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS). As of September 30, 2016 December 31, 2015 Assets - Interest bearing deposits $ 650 $ 650 Assets - Advances 16,016 15,168 Liabilities - Deposits 33 20 Equity - Capital Stock 483 467 Other FHLBs From time to time, we may loan to, or borrow from, other FHLBs. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other counterparties. These transactions are overnight, maturing the following business day. These transactions with other FHLBs, if any, are identified on the face of our Financial Statements . |
Summary of Significant Accoun23
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Debt, Policy [Policy Text Block] | Simplifying the Presentation of Debt Issuance Cost (i.e., Concession Fees) In April of 2015, the FASB issued new guidance requiring any concession fee to be presented as a direct deduction from the debt it relates to rather than separately presented as a deferred cost in Other Assets. We retrospectively adopted the new guidance January 1, 2016 by reclassifying deferred concession fees from Other Assets to its related debt, which at the time of adoption included our Consolidated obligation discount notes, Consolidated obligation bonds and Subordinated notes. This reclassification did not have a material effect on our financial condition, results of operations, cash flows, or percentage net interest yield on our consolidated obligations at the time of adoption. |
Derivatives, Hedge Discontinuances, Termination of Hedging Instrument or Hedged Item [Policy Text Block] | Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance had no effect on our financial condition, results of operations, or cash flows at the time of adoption. |
Interest Income and Interest 24
Interest Income and Interest Expense (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense [Table Text Block] | The following table presents interest income and interest expense for the periods indicated: Three months ended September 30, Nine months ended September 30, 2016 2015 2016 2015 Interest income - Trading $ 2 $ — $ 7 $ 2 Available-for-sale 116 132 367 396 Held-to-maturity 56 63 171 201 Investment securities 174 195 545 599 Advance interest income 73 44 203 125 Advance prepayment fees 1 1 8 7 Advances 74 45 211 132 MPF Loans held in portfolio 53 62 165 197 Other interest bearing assets 8 2 23 6 Interest income 309 304 944 934 Interest expense - Discount notes 95 72 272 216 Bonds 99 96 299 304 Consolidated obligations 194 168 571 520 Subordinated notes — 14 24 41 Other interest bearing liabilities 2 — 5 — Interest expense 196 182 600 561 Net interest income 113 122 344 373 Provision for (reversal of) credit losses — 1 — 5 Net interest income after provision for (reversal of) credit losses $ 113 $ 121 $ 344 $ 368 |
Investment Securities (Tables)
Investment Securities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | The following table presents the fair value of our trading securities. We did not hold a material amount of securities we issued through our MPF Government MBS product as of the dates presented. We had no material unrealized gains or losses on trading securities. As of September 30, 2016 December 31, 2015 U.S. Government & other government related $ 1,003 $ 1,108 Residential MBS: GSE 42 50 Government-guaranteed 2 2 Residential MBS 44 52 Trading securities $ 1,047 $ 1,160 |
Available-for-sale Securities by Major Security Type [Table Text Block] | Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS) Amortized Cost Basis Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Carrying Amount and Fair Value As of September 30, 2016 U.S. Government & other government related $ 350 $ 20 $ (3 ) $ 367 State or local housing agency 19 1 — 20 FFELP ABS 4,561 158 (25 ) 4,694 Residential MBS: GSE 8,578 353 (9 ) 8,922 Government-guaranteed 1,457 43 — 1,500 Private-label 51 7 — 58 Residential MBS 10,086 403 (9 ) 10,480 Available-for-sale securities $ 15,016 $ 582 $ (37 ) $ 15,561 As of December 31, 2015 U.S. Government & other government related $ 405 $ 21 $ (4 ) $ 422 State or local housing agency 18 — — 18 FFELP ABS 5,090 233 (24 ) 5,299 Residential MBS: GSE 9,427 383 (12 ) 9,798 Government-guaranteed 1,811 57 — 1,868 Private-label 61 4 — 65 Residential MBS 11,299 444 (12 ) 11,731 Available-for-sale securities $ 16,812 $ 698 $ (40 ) $ 17,470 |
Held-to-maturity Securities by Major Security Type [Table Text Block] | Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM) Amortized Cost Basis Non-credit OTTI Recognized in AOCI (Loss) Carrying Amount Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of September 30, 2016 U.S. Government & other government related $ 1,271 $ — $ 1,271 $ 74 $ — $ 1,345 State or local housing agency 13 — 13 — — 13 Residential MBS: GSE 1,928 — 1,928 133 — 2,061 Government-guaranteed 834 — 834 13 — 847 Private-label 929 (187 ) 742 301 (1 ) 1,042 Residential MBS 3,691 (187 ) 3,504 447 (1 ) 3,950 Held-to-maturity securities $ 4,975 $ (187 ) $ 4,788 $ 521 $ (1 ) $ 5,308 As of December 31, 2015 U.S. Government & other government related $ 1,932 $ — $ 1,932 $ 64 $ (1 ) $ 1,995 State or local housing agency 16 — 16 — — 16 Residential MBS: GSE 2,163 — 2,163 134 — 2,297 Government-guaranteed 969 — 969 16 — 985 Private-label 1,104 (217 ) 887 334 (1 ) 1,220 Residential MBS 4,236 (217 ) 4,019 484 (1 ) 4,502 Held-to-maturity securities $ 6,184 $ (217 ) $ 5,967 $ 548 $ (2 ) $ 6,513 |
Securities in a Continuous Unrealized Loss Position [Table Text Block] | The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported. Available-for-Sale Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) As of September 30, 2016 U.S. Government & other government related $ — $ — $ 86 $ (3 ) $ 86 $ (3 ) State or local housing agency 1 — — — 1 — FFELP ABS — — 774 (25 ) 774 (25 ) Residential MBS: GSE 658 — 1,217 (9 ) 1,875 (9 ) Government-guaranteed 24 — — — 24 — Private-label — — 1 — 1 — Residential MBS 682 — 1,218 (9 ) 1,900 (9 ) Available-for-sale securities $ 683 $ — $ 2,078 $ (37 ) $ 2,761 $ (37 ) As of December 31, 2015 U.S. Government & other government related $ 30 $ (1 ) $ 45 $ (3 ) $ 75 $ (4 ) State or local housing agency 4 — — — 4 — FFELP ABS 64 (1 ) 787 (23 ) 851 (24 ) Residential MBS: GSE 1,081 (3 ) 1,006 (9 ) 2,087 (12 ) Government-guaranteed 90 — — — 90 — Private-label — — 8 — 8 — Residential MBS 1,171 (3 ) 1,014 (9 ) 2,185 (12 ) Available-for-sale securities $ 1,269 $ (5 ) $ 1,846 $ (35 ) $ 3,115 $ (40 ) Held-to-Maturity Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) As of September 30, 2016 U.S. Government & other government related $ — $ — $ 16 $ — $ 16 $ — State or local housing agency 9 — 1 — 10 — Residential MBS: GSE 4 — — — 4 — Private-label — — 1,000 (188 ) 1,000 (188 ) Residential MBS 4 — 1,000 (188 ) 1,004 (188 ) Held-to-maturity securities $ 13 $ — $ 1,017 $ (188 ) $ 1,030 $ (188 ) As of December 31, 2015 U.S. Government & other government related $ 606 $ — $ 16 $ (1 ) $ 622 $ (1 ) State or local housing agency 1 — 10 — 11 — Residential MBS: GSE 4 — — — 4 — Private-label — — 1,167 (218 ) 1,167 (218 ) Residential MBS 4 — 1,167 (218 ) 1,171 (218 ) Held-to-maturity securities $ 611 $ — $ 1,193 $ (219 ) $ 1,804 $ (219 ) |
Securities by Contractual Maturity [Table Text Block] | The following table primarily presents the amortized cost basis and fair value of U.S. Government & other government related AFS and HTM securities by contractual maturity. ABS and MBS securities are excluded since their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans. Available-for-Sale Held-to-Maturity As of September 30, 2016 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 17 $ 17 $ 176 $ 177 Due after one year through five years 44 46 285 298 Due after five years through ten years 30 32 86 88 Due after ten years 278 292 737 795 ABS and MBS without a single maturity date 14,647 15,174 3,504 3,950 Total securities $ 15,016 $ 15,561 $ 4,788 $ 5,308 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses (recognized into earnings) on investment securities for the reporting periods indicated. Three months ended September 30, Nine months ended September 30, 2016 2015 2016 2015 Beginning Balance $ 542 $ 591 $ 568 $ 620 Reductions: Increases in expected future cash flows recorded as accretion into interest income (11 ) (12 ) (37 ) (41 ) Ending Balance $ 531 $ 579 $ 531 $ 579 |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The following table presents our advances by terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of September 30, 2016 Weighted Average Contractual Interest Rate Amount Due in one year or less 0.60 % $ 12,719 One to two years 0.77 % 8,966 Two to three years 0.56 % a 7,283 Three to four years 0.58 % a 8,120 Four to five years 1.34 % 1,536 More than five years 1.67 % 4,168 Par value 0.76 % $ 42,792 a The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates. See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses. The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated. As of September 30, 2016 December 31, 2015 Par value $ 42,792 $ 36,605 Fair value hedging adjustments 300 159 Other adjustments 25 14 Advances $ 43,117 $ 36,778 |
Credit Concentration Risk | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following advance borrowers exceeded 10% of our total advances outstanding: As of September 30, 2016 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 26 % BMO Harris Bank, N.A. 4,875 11 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans (Tables)
MPF Loans (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. As of September 30, 2016 December 31, 2015 Medium term (15 years or less) $ 448 $ 662 Long term (greater than 15 years) 4,209 4,112 Unpaid principal balance 4,657 4,774 Net premiums, credit enhancement and deferred loan fees 36 20 Fair value hedging adjustments 30 37 MPF Loans held in portfolio, before allowance for credit losses 4,723 4,831 Allowance for credit losses on MPF Loans (3 ) (3 ) MPF Loans held in portfolio, net $ 4,720 $ 4,828 Conventional mortgage loans $ 3,543 $ 3,568 Government Loans 1,114 1,206 Unpaid principal balance $ 4,657 $ 4,774 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Receivables [Abstract] | |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | For further detail of our MPF Risk Sharing Structure see page F-14 in our 2015 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2015 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. Recorded investment in a conventional MPF Loan is its amortized cost basis plus related accrued interest receivable, if any. Recorded investment is not net of its allowance for credit losses but is net of any direct charge-off on the conventional MPF Loan. As of September 30, 2016 December 31, 2015 Recorded investment in conventional MPF Loans - Individually evaluated for impairment $ 78 $ 107 Collectively evaluated for impairment 3,533 3,519 Recorded investment $ 3,611 $ 3,626 Allowance for credit losses on conventional MPF Loans - Homogeneous pools of loans collectively evaluated for impairment $ 3 $ 3 |
Past Due Financing Receivables [Table Text Block] | The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include: • "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation. • "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as Primary Mortgage Insurance, of a financially responsible party) and in the process of collection. September 30, 2016 December 31, 2015 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 81 $ 53 $ 134 $ 99 $ 63 $ 162 Past due 60-89 days 26 17 43 32 21 53 Past due 90 days or more 71 21 92 100 15 115 Past due 178 91 269 231 99 330 Current 3,433 1,044 4,477 3,395 1,130 4,525 Recorded investment $ 3,611 $ 1,135 $ 4,746 $ 3,626 $ 1,229 $ 4,855 In process of foreclosure $ 36 $ 5 $ 41 $ 51 $ 3 $ 54 Serious delinquency rate 2.02 % 1.87 % 1.98 % 2.77 % 1.23 % 2.38 % Past due 90 days or more still accruing interest $ 7 $ 21 $ 28 $ 10 $ 15 $ 25 On nonaccrual status $ 78 $ — $ 78 $ 107 $ — $ 107 |
Impaired Financing Receivables [Table Text Block] | The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off. As of September 30, 2016 December 31, 2015 Recorded investment without an allowance for credit losses $ 78 $ 107 Unpaid principal balance without an allowance for credit losses 84 117 The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans. Three months ended September 30, Nine months ended September 30, 2016 2015 2016 2015 Average recorded investment without allowance for credit losses $ 81 $ 118 $ 89 $ 132 |
Derivatives and Hedging Activ29
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements. September 30, 2016 December 31, 2015 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate swaps $ 24,256 $ 40 $ 1,156 $ 25,140 $ 30 $ 1,082 Derivatives not in hedge accounting relationships- Interest rate swaps 36,692 514 414 28,866 456 341 Interest rate swaptions 550 56 — 1,270 40 — Interest rate caps or floors 1,129 51 — 1,131 76 — Mortgage delivery commitments 1,178 1 1 479 1 1 Other 127 1 — 121 — — Derivatives not in hedge accounting relationships 39,676 623 415 31,867 573 342 Gross derivative amount before adjustments $ 63,932 663 1,571 $ 57,007 603 1,424 Netting adjustments and cash collateral (642 ) a (1,523 ) a (601 ) a (1,369 ) a Derivatives on statements of condition $ 21 $ 48 $ 2 $ 55 a Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016 , and December 31, 2015 , and cash collateral received was $29 million and $25 million . |
Balance Sheet Offsetting [Table Text Block] | The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset. Derivative Assets Derivative Liabilities As of September 30, 2016 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 485 $ 177 $ 662 $ 998 $ 572 $ 1,570 Netting adjustments and cash collateral (483 ) (159 ) (642 ) (951 ) (572 ) (1,523 ) Derivatives with legal right of offset - net 2 18 20 47 — 47 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 3 18 21 48 — 48 Cash collateral for initial margin (1 ) (1 ) Noncash collateral received (pledged) and cannot be sold or repledged 1 (71 ) a (70 ) — — — Net amount $ 2 $ 90 $ 92 $ 48 $ — $ 48 As of December 31, 2015 Derivatives with legal right of offset - Gross recognized amount $ 509 $ 93 $ 602 $ 1,182 $ 241 $ 1,423 Netting adjustments and cash collateral (508 ) (93 ) (601 ) (1,140 ) (229 ) (1,369 ) Derivatives with legal right of offset - net 1 — 1 42 12 54 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 43 12 55 Noncash collateral received (pledged) and cannot be sold or repledged — — — — 12 12 Net amount $ 2 $ — $ 2 $ 43 $ — $ 43 a Represents noncash collateral pledged for initial margin for cleared derivatives. At September 30, 2016 , we had $19 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015 . |
Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block] | The following table presents the gains (losses) of derivatives and hedging activities as presented in the statements of income. Three months ended September 30, Nine months ended September 30, For the periods ending 2016 2015 2016 2015 Fair value hedges - Interest rate swaps $ 5 $ (17 ) $ (7 ) $ (30 ) Fair value hedges 5 (17 ) (7 ) (30 ) Cash flow hedges — 1 4 2 Economic hedges - Interest rate swaps (1 ) (14 ) (40 ) (43 ) Interest rate swaptions (2 ) 4 16 7 Interest rate caps or floors (14 ) (4 ) (25 ) (12 ) Net interest settlements 16 16 44 60 Other 3 (1 ) 1 (1 ) Economic hedges 2 1 (4 ) 11 Gains (losses) on derivatives and hedging activities $ 7 $ (15 ) $ (7 ) $ (17 ) |
Fair Value Hedges [Table Text Block] | The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. On Derivative On Hedged Item Total Ineffectiveness Recognized in Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended September 30, 2016 Available-for-sale securities $ 51 $ (50 ) $ 1 $ (31 ) Advances 35 (34 ) 1 (17 ) MPF Loans held for portfolio — — — (2 ) Consolidated obligation bonds (34 ) 37 3 12 Total $ 52 $ (47 ) $ 5 $ (38 ) Three months ended September 30, 2015 Available-for-sale securities $ (40 ) $ 29 $ (11 ) $ (33 ) Advances (77 ) 78 1 (22 ) MPF Loans held for portfolio — — — (4 ) Consolidated obligation bonds 87 (94 ) (7 ) 54 Total $ (30 ) $ 13 $ (17 ) $ (5 ) Nine months ended September 30, 2016 Available-for-sale securities $ (4 ) $ — $ (4 ) $ (93 ) Advances (143 ) 143 — (57 ) MPF Loans held for portfolio — — — (7 ) Consolidated obligation bonds 42 (45 ) (3 ) 51 Total $ (105 ) $ 98 $ (7 ) $ (106 ) Nine months ended September 30, 2015 Available-for-sale securities $ (28 ) $ 15 $ (13 ) $ (111 ) Advances (49 ) 49 — (63 ) MPF Loans held for portfolio — — — (11 ) Consolidated obligation bonds 117 (134 ) (17 ) 169 Total $ 40 $ (70 ) $ (30 ) $ (16 ) |
Cash Flow Hedges [Table Text Block] | The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. Ineffective Portion Recorded in Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended September 30, 2016 Advances Interest rate floors $ — $ — $ 1 Discount notes Interest rate swaps — 84 (49 ) Total $ — $ 84 $ (48 ) Three months ended September 30, 2015 Advances Interest rate floors $ — $ — $ 2 Discount notes Interest rate swaps 1 (29 ) (62 ) Total $ 1 $ (29 ) $ (60 ) Nine months ended September 30, 2016 Advances Interest rate floors $ — $ — $ 7 Discount notes Interest rate swaps 4 46 (147 ) Bonds Interest rate swaps — — (2 ) Total $ 4 $ 46 $ (142 ) Nine months ended September 30, 2015 Advances Interest rate floors $ — $ — $ 8 Discount notes Interest rate swaps 2 14 (187 ) Bonds Interest rate swaps — — (2 ) Total $ 2 $ 14 $ (181 ) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of September 30, 2016 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 9,756 1.16 % $ 20,922 One to two years 7,686 1.31 % 4,460 Two to three years 4,591 1.26 % 3,105 Three to four years 979 1.28 % 474 Four to five years 2,808 1.99 % 363 Thereafter 4,354 2.85 % 850 Par value $ 30,174 1.54 % $ 30,174 |
Schedule of Short-term Debt [Table Text Block] | The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of September 30, 2016 December 31, 2015 Carrying Amount $ 39,144 $ 41,564 Par Value 39,164 41,584 Weighted Average Interest Rate 0.39 % 0.22 % |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of September 30, 2016 December 31, 2015 Noncallable $ 18,288 $ 10,148 Callable 11,886 12,536 Par value 30,174 22,684 Fair value hedging adjustments (49 ) (101 ) Other adjustments 14 (1 ) Consolidated obligation bonds $ 30,139 $ 22,582 |
Schedule of Guarantor Obligations [Table Text Block] | The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of September 30, 2016 , and December 31, 2015 . Refer to Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K for further details. September 30, 2016 December 31, 2015 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 532,920 $ 434,808 $ 967,728 $ 410,859 $ 494,343 $ 905,202 FHLB Chicago as primary obligor 30,174 39,164 69,338 22,684 41,584 64,268 As a percent of the FHLB System 6 % 9 % 7 % 6 % 8 % 7 % |
Capital and Mandatorily Redee31
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-42 of our 2015 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. September 30, 2016 December 31, 2015 Requirement Actual Requirement Actual Risk-based capital $ 971 $ 4,889 $ 1,027 $ 4,688 Total regulatory capital $ 2,999 $ 4,889 $ 2,827 $ 4,688 Total regulatory capital ratio 4.00 % 6.52 % 4.00 % 6.63 % Leverage capital $ 3,749 $ 7,332 $ 3,534 $ 7,032 Leverage capital ratio 5.00 % 9.78 % 5.00 % 9.95 % Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. |
Stockholders' Equity, Total [Member] | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following members' regulatory capital stock exceeded 10% of our total regulatory capital stock outstanding: As of September 30, 2016 Regulatory Capital Stock Outstanding % of Total Outstanding One Mortgage Partners Corp. $ 245 a 13 % BMO Harris Bank, N.A. $ 219 11 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Accumulated Other Comprehensi32
Accumulated Other Comprehensive Income (Loss) (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table summarizes the gains (losses) in AOCI for the reporting periods indicated. Net Unrealized - Non-credit OTTI - Net Unrealized - Cash Flow Hedges Available-for-sale Securities Held-to-maturity Securities Post-Retirement Plans AOCI Three months ended September 30, 2016 Beginning balance $ 558 $ (196 ) $ (508 ) $ (5 ) $ (151 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (13 ) 9 84 — 80 Amounts reclassified in period to statements of income: Net interest income — — (1 ) (1 ) Other comprehensive income in the period (13 ) 9 83 — 79 Ending balance $ 545 $ (187 ) $ (425 ) $ (5 ) $ (72 ) Three months ended September 30, 2015 Beginning balance $ 925 $ (238 ) $ (541 ) $ (7 ) $ 139 Change in the period recorded to the statements of condition, before reclassifications to statements of income (79 ) 11 (29 ) 1 (96 ) Amounts reclassified in period to statements of income: Net interest income — — (1 ) (1 ) Non-interest gain (loss) — — (1 ) (1 ) Other comprehensive income in the period (79 ) 11 (31 ) 1 (98 ) Ending balance $ 846 $ (227 ) $ (572 ) $ (6 ) $ 41 Nine months ended September 30, 2016 Beginning balance $ 658 $ (217 ) $ (463 ) $ (6 ) $ (28 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (113 ) 30 46 1 (36 ) Amounts reclassified in period to statements of income: Net interest income — — (4 ) (4 ) Non-interest gain (loss) — — (4 ) (4 ) Other comprehensive income in the period (113 ) 30 38 1 (44 ) Ending balance $ 545 $ (187 ) $ (425 ) $ (5 ) $ (72 ) Nine months ended September 30, 2015 Beginning balance $ 1,060 $ (264 ) $ (580 ) $ 1 $ 217 Change in the period recorded to the statements of condition, before reclassifications to statements of income (214 ) 37 14 (7 ) (170 ) Amounts reclassified in period to statements of income: Net interest income — — (4 ) (4 ) Non-interest gain (loss) — — (2 ) (2 ) Other comprehensive income in the period (214 ) 37 8 (7 ) (176 ) Ending balance $ 846 $ (227 ) $ (572 ) $ (6 ) $ 41 |
Fair Value Accounting (Tables)
Fair Value Accounting (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement [Table Text Block] | The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis. Carrying Amount Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 September 30, 2016 Financial Assets - Cash and due from banks $ 31 $ 31 $ 31 $ — $ — Interest bearing deposits 650 650 650 — — Federal Funds sold 3,807 3,807 — 3,807 — Securities purchased under agreements to resell 1,000 1,000 — 1,000 — Held-to-maturity securities 4,788 5,308 — 4,266 1,042 Advances 43,117 43,149 — 43,149 — MPF Loans held in portfolio, net 4,720 5,032 — 5,007 25 Financial Liabilities - Deposits (512 ) (512 ) — (512 ) — Consolidated obligation discount notes (39,144 ) (39,146 ) — (39,146 ) — Consolidated obligation bonds (30,139 ) (30,594 ) — (30,594 ) — Mandatorily redeemable capital stock (302 ) (302 ) (302 ) — — December 31, 2015 Financial Assets - Cash and due from banks $ 499 $ 499 $ 499 $ — $ — Interest bearing deposits 650 650 650 — — Federal Funds sold 1,702 1,702 — 1,702 — Securities purchased under agreements to resell 1,375 1,375 — 1,375 — Held-to-maturity securities 5,967 6,513 — 5,293 1,220 Advances 36,778 36,736 — 36,736 — MPF Loans held in portfolio, net 4,828 5,190 — 5,155 35 Financial Liabilities - Deposits (538 ) (538 ) — (538 ) — Consolidated obligation discount notes (41,564 ) (41,563 ) — (41,563 ) — Consolidated obligation bonds (22,582 ) (22,986 ) — (22,931 ) (55 ) a Mandatorily redeemable capital stock (8 ) (8 ) (8 ) — — Subordinated notes (944 ) (966 ) — (966 ) — a Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Assets and Liabilities Measured at Fair Value on a Recurring Basis [Table Text Block] | The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. The Netting adjustment shown in the table reflects our policy of presenting derivative assets and liabilities on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation and Note 9 - Derivatives and Hedging Activities for further details. Advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale resulted from our electing the fair value option. September 30, 2016 Level 2 Level 3 Netting Fair Value Financial assets - U.S. Government & other government related non-MBS $ 1,003 $ — $ 1,003 GSE residential MBS 42 — 42 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 1,047 — 1,047 U.S. Government & other government related non-MBS 367 — 367 State or local housing agency non-MBS 20 — 20 FFELP ABS 4,694 — 4,694 GSE residential MBS 8,922 — 8,922 U.S. Government-guaranteed residential MBS 1,500 — 1,500 Private-label residential MBS — 58 58 Available-for-sale securities 15,503 58 15,561 Advances 703 — 703 Derivative assets 663 — $ (642 ) 21 Other assets - Mortgage loans held for sale 58 — 58 Financial assets at fair value $ 17,974 $ 58 $ (642 ) $ 17,390 Financial liabilities - Consolidated obligation discount notes $ (12,537 ) $ — $ (12,537 ) Consolidated obligation bonds (7,058 ) — (7,058 ) Derivative liabilities (1,571 ) — $ 1,523 (48 ) Financial liabilities at fair value $ (21,166 ) $ — $ 1,523 $ (19,643 ) December 31, 2015 Financial assets - U.S. Government & other government related non-MBS $ 1,108 $ — $ 1,108 GSE residential MBS 50 — 50 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 1,160 — 1,160 U.S. Government & other government related non-MBS 422 — 422 State or local housing agency non-MBS 18 — 18 FFELP ABS 5,299 — 5,299 GSE residential MBS 9,798 — 9,798 U.S. Government-guaranteed residential MBS 1,868 — 1,868 Private-label residential MBS — 65 65 Available-for-sale securities 17,405 65 17,470 Advances 511 — 511 Derivative assets 598 5 $ (601 ) 2 Other assets - Mortgage loans held for sale 54 — 54 Financial assets at fair value $ 19,728 $ 70 $ (601 ) $ 19,197 Financial liabilities - Consolidated obligation discount notes $ (9,006 ) $ — $ (9,006 ) Consolidated obligation bonds (952 ) (55 ) a (1,007 ) Derivative liabilities (1,424 ) — $ 1,369 (55 ) Financial liabilities at fair value $ (11,382 ) $ (55 ) $ 1,369 $ (10,068 ) a Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. September 30, 2016 December 31, 2015 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 689 $ 7,047 $ 509 $ 953 Fair value over (under) UPB 14 11 2 (1 ) Fair value $ 703 $ 7,058 $ 511 $ 952 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table shows our commitments outstanding, which represent off-balance sheet obligations. September 30, 2016 December 31, 2015 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 748 $ — $ 748 $ 105 $ — $ 105 Unsettled consolidated obligation discount notes 500 — 500 — — — Member standby letters of credit 8,283 2,140 a 10,423 5,063 1,615 a 6,678 Housing authority standby bond purchase agreements 46 262 308 49 362 411 Advance commitments 45 1 46 163 5 168 MPF delivery commitments 632 — 632 279 — 279 Other commitments 28 — 28 48 3 51 Commitments $ 10,282 $ 2,403 $ 12,685 $ 5,707 $ 1,985 $ 7,692 a Contains $372 million and $637 million of member standby letters of credit at September 30, 2016 , and December 31, 2015 , which were renewable annually. |
Transactions with Related Par35
Transactions with Related Parties and Other FHLBs (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions, by Balance Sheet Grouping [Table Text Block] | The following table summarizes balances we had with our members who are related parties as defined above (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership or percentage of capital stock ownership over 10% as noted in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS). As of September 30, 2016 December 31, 2015 Assets - Interest bearing deposits $ 650 $ 650 Assets - Advances 16,016 15,168 Liabilities - Deposits 33 20 Equity - Capital Stock 483 467 |
Interest Income and Interest 36
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest income - | ||||
Trading | $ 2 | $ 0 | $ 7 | $ 2 |
Available-for-sale | 116 | 132 | 367 | 396 |
Held-to-maturity | 56 | 63 | 171 | 201 |
Investment securities | 174 | 195 | 545 | 599 |
Advance interest income | 73 | 44 | 203 | 125 |
Advance prepayment fees | 1 | 1 | 8 | 7 |
Advances | 74 | 45 | 211 | 132 |
MPF Loans held in portfolio | 53 | 62 | 165 | 197 |
Other interest bearing assets | 8 | 2 | 23 | 6 |
Interest income | 309 | 304 | 944 | 934 |
Interest expense - | ||||
Discount notes | 95 | 72 | 272 | 216 |
Bonds | 99 | 96 | 299 | 304 |
Consolidated obligations | 194 | 168 | 571 | 520 |
Subordinated notes | 0 | 14 | 24 | 41 |
Other interest bearing liabilities | 2 | 0 | 5 | 0 |
Interest expense | 196 | 182 | 600 | 561 |
Net interest income | 113 | 122 | 344 | 373 |
Provision for (reversal of) credit losses | 0 | 1 | 0 | 5 |
Net interest income after provision for (reversal of) credit losses | $ 113 | $ 121 | $ 344 | $ 368 |
Investment Securities (Trading
Investment Securities (Trading Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 1,047 | $ 1,160 |
U.S. Government & other government related | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 1,003 | 1,108 |
Residential MBS: | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 44 | 52 |
Residential MBS: | GSE | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 42 | 50 |
Residential MBS: | Government-guaranteed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 2 | $ 2 |
Investment Securities (Availabl
Investment Securities (Available-for-sale Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | $ 15,016 | $ 16,812 |
Gross Unrealized Gains in AOCI | 582 | 698 |
Gross Unrealized (Losses) in AOCI | (37) | (40) |
Carrying Amount and Fair Value | 15,561 | 17,470 |
U.S. Government & other government related | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 350 | 405 |
Gross Unrealized Gains in AOCI | 20 | 21 |
Gross Unrealized (Losses) in AOCI | (3) | (4) |
Carrying Amount and Fair Value | 367 | 422 |
State or local housing agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 19 | 18 |
Gross Unrealized Gains in AOCI | 1 | 0 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 20 | 18 |
FFELP ABS | FFELP ABS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 4,561 | 5,090 |
Gross Unrealized Gains in AOCI | 158 | 233 |
Gross Unrealized (Losses) in AOCI | (25) | (24) |
Carrying Amount and Fair Value | 4,694 | 5,299 |
Residential MBS: | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 10,086 | 11,299 |
Gross Unrealized Gains in AOCI | 403 | 444 |
Gross Unrealized (Losses) in AOCI | (9) | (12) |
Carrying Amount and Fair Value | 10,480 | 11,731 |
Residential MBS: | GSE | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 8,578 | 9,427 |
Gross Unrealized Gains in AOCI | 353 | 383 |
Gross Unrealized (Losses) in AOCI | (9) | (12) |
Carrying Amount and Fair Value | 8,922 | 9,798 |
Residential MBS: | Government-guaranteed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 1,457 | 1,811 |
Gross Unrealized Gains in AOCI | 43 | 57 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 1,500 | 1,868 |
Residential MBS: | Private-label | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 51 | 61 |
Gross Unrealized Gains in AOCI | 7 | 4 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | $ 58 | $ 65 |
Investment Securities (Held-to-
Investment Securities (Held-to-Maturities Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | $ 4,975 | $ 6,184 |
Non-credit OTTI Recognized in AOCI (Loss) | (187) | (217) |
Carrying Amount | 4,788 | 5,967 |
Gross Unrecognized Holding Gains | 521 | 548 |
Gross Unrecognized Holding (Losses) | (1) | (2) |
Held-to-maturity fair value | 5,308 | 6,513 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,271 | 1,932 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 1,271 | 1,932 |
Gross Unrecognized Holding Gains | 74 | 64 |
Gross Unrecognized Holding (Losses) | 0 | (1) |
Held-to-maturity fair value | 1,345 | 1,995 |
State or local housing agency | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 13 | 16 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 13 | 16 |
Gross Unrecognized Holding Gains | 0 | 0 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity fair value | 13 | 16 |
Residential MBS: | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 3,691 | 4,236 |
Non-credit OTTI Recognized in AOCI (Loss) | (187) | (217) |
Carrying Amount | 3,504 | 4,019 |
Gross Unrecognized Holding Gains | 447 | 484 |
Gross Unrecognized Holding (Losses) | (1) | (1) |
Held-to-maturity fair value | 3,950 | 4,502 |
Residential MBS: | GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,928 | 2,163 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 1,928 | 2,163 |
Gross Unrecognized Holding Gains | 133 | 134 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity fair value | 2,061 | 2,297 |
Residential MBS: | Government-guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 834 | 969 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 834 | 969 |
Gross Unrecognized Holding Gains | 13 | 16 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity fair value | 847 | 985 |
Residential MBS: | Private-label | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 929 | 1,104 |
Non-credit OTTI Recognized in AOCI (Loss) | (187) | (217) |
Carrying Amount | 742 | 887 |
Gross Unrecognized Holding Gains | 301 | 334 |
Gross Unrecognized Holding (Losses) | (1) | (1) |
Held-to-maturity fair value | $ 1,042 | $ 1,220 |
Investment Securities (Aging of
Investment Securities (Aging of Unrealized Temporary Losses on Available-for-sale Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Less than 12 Months | ||
Fair Value | $ 683 | $ 1,269 |
Gross Unrealized (Losses) | 0 | (5) |
12 Months or More | ||
Fair Value | 2,078 | 1,846 |
Gross Unrealized (Losses) | (37) | (35) |
Total | ||
Fair Value | 2,761 | 3,115 |
Gross Unrealized (Losses) | (37) | (40) |
U.S. Government & other government related | ||
Less than 12 Months | ||
Fair Value | 0 | 30 |
Gross Unrealized (Losses) | 0 | (1) |
12 Months or More | ||
Fair Value | 86 | 45 |
Gross Unrealized (Losses) | (3) | (3) |
Total | ||
Fair Value | 86 | 75 |
Gross Unrealized (Losses) | (3) | (4) |
State or local housing agency | ||
Less than 12 Months | ||
Fair Value | 1 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 1 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
FFELP ABS | FFELP ABS | ||
Less than 12 Months | ||
Fair Value | 0 | 64 |
Gross Unrealized (Losses) | 0 | (1) |
12 Months or More | ||
Fair Value | 774 | 787 |
Gross Unrealized (Losses) | (25) | (23) |
Total | ||
Fair Value | 774 | 851 |
Gross Unrealized (Losses) | (25) | (24) |
Residential MBS: | ||
Less than 12 Months | ||
Fair Value | 682 | 1,171 |
Gross Unrealized (Losses) | 0 | (3) |
12 Months or More | ||
Fair Value | 1,218 | 1,014 |
Gross Unrealized (Losses) | (9) | (9) |
Total | ||
Fair Value | 1,900 | 2,185 |
Gross Unrealized (Losses) | (9) | (12) |
Residential MBS: | GSE | ||
Less than 12 Months | ||
Fair Value | 658 | 1,081 |
Gross Unrealized (Losses) | 0 | (3) |
12 Months or More | ||
Fair Value | 1,217 | 1,006 |
Gross Unrealized (Losses) | (9) | (9) |
Total | ||
Fair Value | 1,875 | 2,087 |
Gross Unrealized (Losses) | (9) | (12) |
Residential MBS: | Government-guaranteed | ||
Less than 12 Months | ||
Fair Value | 24 | 90 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 24 | 90 |
Gross Unrealized (Losses) | 0 | 0 |
Residential MBS: | Private-label | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 1 | 8 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 1 | 8 |
Gross Unrealized (Losses) | $ 0 | $ 0 |
Investment Securities (Aging 41
Investment Securities (Aging of Unrealized Temporary Losses on Held-to-maturity Securities) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Less than 12 Months | ||
Fair Value | $ 13 | $ 611 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 1,017 | 1,193 |
Gross Unrealized (Losses) | (188) | (219) |
Total | ||
Fair Value | 1,030 | 1,804 |
Gross Unrealized (Losses) | (188) | (219) |
U.S. Government & other government related | ||
Less than 12 Months | ||
Fair Value | 0 | 606 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 16 | 16 |
Gross Unrealized (Losses) | 0 | (1) |
Total | ||
Fair Value | 16 | 622 |
Gross Unrealized (Losses) | 0 | (1) |
State or local housing agency | ||
Less than 12 Months | ||
Fair Value | 9 | 1 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 1 | 10 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 10 | 11 |
Gross Unrealized (Losses) | 0 | 0 |
Residential MBS: | ||
Less than 12 Months | ||
Fair Value | 4 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 1,000 | 1,167 |
Gross Unrealized (Losses) | (188) | (218) |
Total | ||
Fair Value | 1,004 | 1,171 |
Gross Unrealized (Losses) | (188) | (218) |
Residential MBS: | GSE | ||
Less than 12 Months | ||
Fair Value | 4 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 4 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
Residential MBS: | Private-label | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 1,000 | 1,167 |
Gross Unrealized (Losses) | (188) | (218) |
Total | ||
Fair Value | 1,000 | 1,167 |
Gross Unrealized (Losses) | $ (188) | $ (218) |
Investment Securities (Contract
Investment Securities (Contractual Maturity Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | $ 17 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 44 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 30 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 278 | |
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Amortized Cost Basis | 14,647 | |
Amortized Cost Basis | 15,016 | $ 16,812 |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 17 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 46 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 32 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 292 | |
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Fair Value | 15,174 | |
Carrying Amount and Fair Value | 15,561 | 17,470 |
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost | 176 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost | 285 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost | 86 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost | 737 | |
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Net Carrying Amount | 3,504 | |
Carrying Amount | 4,788 | 5,967 |
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 177 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 298 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 88 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 795 | |
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Fair Value | 3,950 | |
Fair Value | $ 5,308 | $ 6,513 |
Investment Securities (Signific
Investment Securities (Significant Inputs Used to Determine OTTI) (Details) | Sep. 30, 2016 |
Minimum | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |
Assumed Home Price Change Rate all markets | (1.00%) |
Projected House Price Change Rate majority of markets | 3.00% |
Maximum | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |
Assumed Home Price Change Rate all markets | 10.00% |
Projected House Price Change Rate majority of markets | 6.00% |
Investment Securities (OTTI rol
Investment Securities (OTTI rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Beginning Balance | $ 542 | $ 591 | $ 568 | $ 620 |
Reductions: | ||||
Increases in expected future cash flows recorded as accretion into interest income | (11) | (12) | (37) | (41) |
Ending Balance | $ 531 | $ 579 | $ 531 | $ 579 |
Investment Securities Ongoing L
Investment Securities Ongoing Litigation (Details) - Private-label - October 15 2010 On-going PLMBS Litigation $ in Millions | 1 Months Ended | ||
Apr. 30, 2016USD ($) | Sep. 30, 2016USD ($)bonds | Oct. 15, 2010USD ($)bonds | |
Gain Contingencies [Line Items] | |||
Number of Debt Securities | bonds | 4 | 64 | |
Marketable Securities, Original Principal Amount | $ 77.5 | $ 4,290 | |
Litigation Settlement, Amount | $ 37.5 | ||
Litigation Settlement, Expense | $ 5 |
Advances By redemption terms (D
Advances By redemption terms (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Rolling Maturity [Abstract] | |||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 0.60% | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 0.77% | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | [1] | 0.56% | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | [1] | 0.58% | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 1.34% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 1.67% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 0.76% | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 12,719 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | 8,966 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | 7,283 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | 8,120 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | 1,536 | ||
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | 4,168 | ||
Par value | $ 42,792 | $ 36,605 | |
[1] | The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates. |
Advances Reconciliation of par
Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Federal Home Loan Banks [Abstract] | ||
Par value | $ 42,792 | $ 36,605 |
Fair value hedging adjustments | 300 | 159 |
Other adjustments | 25 | 14 |
Advances | $ 43,117 | $ 36,778 |
Advances By counterparty concen
Advances By counterparty concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
Concentration Risk [Line Items] | |||
Par value | $ 42,792 | $ 36,605 | |
One Mortgage Partners Corp. | |||
Concentration Risk [Line Items] | |||
Par value | [1] | $ 11,000 | |
One Mortgage Partners Corp. | Credit Concentration Risk | |||
Concentration Risk [Line Items] | |||
% of Total Outstanding | 26.00% | ||
BMO Harris Bank, N.A. | |||
Concentration Risk [Line Items] | |||
Par value | $ 4,875 | ||
BMO Harris Bank, N.A. | Credit Concentration Risk | |||
Concentration Risk [Line Items] | |||
% of Total Outstanding | 11.00% | ||
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans (Details)
MPF Loans (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 4,657 | $ 4,774 |
Net premiums, credit enhancement and deferred loan fees | 36 | 20 |
Fair value hedging adjustments | 30 | 37 |
MPF Loans held in portfolio, before allowance for credit losses | 4,723 | 4,831 |
Allowance for credit losses on MPF Loans | (3) | (3) |
MPF Loans held in portfolio, net | 4,720 | 4,828 |
Medium term (15 years or less) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 448 | 662 |
Long term (greater than 15 years) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 4,209 | 4,112 |
Conventional mortgage loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 3,543 | 3,568 |
Government Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1,114 | $ 1,206 |
Allowance for Credit Losses Loa
Allowance for Credit Losses Loans evaluated for impairment (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Recorded investment | ||
Recorded investment | $ 4,746 | $ 4,855 |
Conventional | ||
Recorded investment | ||
Individually evaluated for impairment | 78 | 107 |
Collectively evaluated for impairment | 3,533 | 3,519 |
Recorded investment | 3,611 | 3,626 |
Allowance for credit losses on conventional MPF Loans - | ||
Homogeneous pools of loans collectively evaluated for impairment | $ 3 | $ 3 |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators - MPF Loans) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Recorded Investment, Past Due [Line Items] | ||
Past due | $ 269 | $ 330 |
Current | 4,477 | 4,525 |
Recorded investment | 4,746 | 4,855 |
In process of foreclosure | $ 41 | $ 54 |
Serious delinquency rate | 1.98% | 2.38% |
Past due 90 days or more still accruing interest | $ 28 | $ 25 |
On nonaccrual status | 78 | 107 |
Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 134 | 162 |
Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 43 | 53 |
Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 92 | 115 |
Conventional | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 178 | 231 |
Current | 3,433 | 3,395 |
Recorded investment | 3,611 | 3,626 |
In process of foreclosure | $ 36 | $ 51 |
Serious delinquency rate | 2.02% | 2.77% |
Past due 90 days or more still accruing interest | $ 7 | $ 10 |
On nonaccrual status | 78 | 107 |
Conventional | Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 81 | 99 |
Conventional | Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 26 | 32 |
Conventional | Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 71 | 100 |
Government | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 91 | 99 |
Current | 1,044 | 1,130 |
Recorded investment | 1,135 | 1,229 |
In process of foreclosure | $ 5 | $ 3 |
Serious delinquency rate | 1.87% | 1.23% |
Past due 90 days or more still accruing interest | $ 21 | $ 15 |
On nonaccrual status | 0 | 0 |
Government | Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 53 | 63 |
Government | Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 17 | 21 |
Government | Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | $ 21 | $ 15 |
Allowance for Credit Losses (Im
Allowance for Credit Losses (Impaired MPF Loans at period ends) (Details) - Conventional - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Financing Receivable, Impaired [Line Items] | ||
Recorded investment without an allowance for credit losses | $ 78 | $ 107 |
Unpaid principal balance without an allowance for credit losses | $ 84 | $ 117 |
Allowance for Credit Losses (53
Allowance for Credit Losses (Impaired MPF Loans during the periods) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Conventional | ||||
Financing Receivable, Impaired [Line Items] | ||||
Average recorded investment without allowance for credit losses | $ 81 | $ 118 | $ 89 | $ 132 |
Derivatives and Hedging Activ54
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Sep. 30, 2016USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Additional collateral due to derivatives counterparties if credit rating was lowered one level | $ 43 |
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty | $ 90 |
Derivatives and Hedging Activ55
Derivatives and Hedging Activities (Derivatives in statements of condition) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 63,932 | $ 57,007 | |
Netting adjustments and cash collateral derivative assets | (642) | (601) | |
Derivative assets on statements of condition | 21 | 2 | |
Netting adjustments and cash collateral derivative liabilities | (1,523) | (1,369) | |
Derivative liabilities on statements of condition | 48 | 55 | |
Cash collateral posted | 910 | 793 | |
Cash collateral received | 29 | 25 | |
Derivatives in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 24,256 | 25,140 | |
Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 39,676 | 31,867 | |
Derivatives not in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 36,692 | 28,866 | |
Derivatives not in hedge accounting relationships- | Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 550 | 1,270 | |
Derivatives not in hedge accounting relationships- | Interest rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 1,129 | 1,131 | |
Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 1,178 | 479 | |
Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 127 | 121 | |
Derivative Assets | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 663 | 603 | |
Netting adjustments and cash collateral derivative assets | [1] | (642) | (601) |
Derivative assets on statements of condition | 21 | 2 | |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 40 | 30 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 623 | 573 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 514 | 456 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 56 | 40 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 51 | 76 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1 | 1 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1 | 0 | |
Derivative Liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1,571 | 1,424 | |
Netting adjustments and cash collateral derivative liabilities | [1] | (1,523) | (1,369) |
Derivative liabilities on statements of condition | 48 | 55 | |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1,156 | 1,082 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 415 | 342 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 414 | 341 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1 | 1 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million. |
Derivatives and Hedging Activ56
Derivatives and Hedging Activities (Derivative instruments with legal right of offset) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivatives with legal right of offset - | |||
Netting adjustments and cash collateral derivative assets | $ (642) | $ (601) | |
Netting adjustments and cash collateral derivative liabilities | (1,523) | (1,369) | |
Derivative assets on statements of condition | 21 | 2 | |
Derivative liabilities on statements of condition | 48 | 55 | |
Credit Exposure On Overcollateralized Pledged Securities Exceeding Derivative Liability | 19 | 50 | |
Derivative Assets | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 662 | 602 | |
Netting adjustments and cash collateral derivative assets | [1] | (642) | (601) |
Derivatives with legal right of offset - net | 20 | 1 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivative assets on statements of condition | 21 | 2 | |
Cash collateral for initial margin | (1) | ||
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | ||
Noncash collateral received (pledged) and cannot be sold or repledged | (70) | ||
Net amount | 92 | 2 | |
Derivative Assets | Bilateral | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 485 | 509 | |
Netting adjustments and cash collateral derivative assets | (483) | (508) | |
Derivatives with legal right of offset - net | 2 | 1 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivative assets on statements of condition | 3 | 2 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 1 | 0 | |
Net amount | 2 | 2 | |
Derivative Assets | Cleared | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 177 | 93 | |
Netting adjustments and cash collateral derivative assets | (159) | (93) | |
Derivatives with legal right of offset - net | 18 | 0 | |
Derivatives without legal right of offset | 0 | 0 | |
Derivative assets on statements of condition | 18 | 0 | |
Cash collateral for initial margin | (1) | ||
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | ||
Noncash collateral received (pledged) and cannot be sold or repledged | [2] | (71) | |
Net amount | 90 | 0 | |
Derivative Liabilities | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 1,570 | 1,423 | |
Netting adjustments and cash collateral derivative liabilities | [1] | (1,523) | (1,369) |
Derivatives with legal right of offset - net | 47 | 54 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivative liabilities on statements of condition | 48 | 55 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 12 | |
Net amount | 48 | 43 | |
Derivative Liabilities | Bilateral | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 998 | 1,182 | |
Netting adjustments and cash collateral derivative liabilities | (951) | (1,140) | |
Derivatives with legal right of offset - net | 47 | 42 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivative liabilities on statements of condition | 48 | 43 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 0 | |
Net amount | 48 | 43 | |
Derivative Liabilities | Cleared | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 572 | 241 | |
Netting adjustments and cash collateral derivative liabilities | (572) | (229) | |
Derivatives with legal right of offset - net | 0 | 12 | |
Derivatives without legal right of offset | 0 | 0 | |
Derivative liabilities on statements of condition | 0 | 12 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 12 | |
Net amount | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million. | ||
[2] | Represents noncash collateral pledged for initial margin for cleared derivatives. |
Derivatives and Hedging Activ57
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Fair value hedges | $ 5 | $ (17) | $ (7) | $ (30) |
Cash flow hedges | 0 | 1 | 4 | 2 |
Economic hedges | 2 | 1 | (4) | 11 |
Gains (losses) on derivatives and hedging activities | 7 | (15) | (7) | (17) |
Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Fair value hedges | 5 | (17) | (7) | (30) |
Economic hedges | (1) | (14) | (40) | (43) |
Interest rate swaptions | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | (2) | 4 | 16 | 7 |
Interest rate caps or floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | (14) | (4) | (25) | (12) |
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | 16 | 16 | 44 | 60 |
Other | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ 3 | $ (1) | $ 1 | $ (1) |
Derivatives and Hedging Activ58
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | $ 5 | $ (17) | $ (7) | $ (30) |
Amount Recorded in Net Interest Income | 113 | 122 | 344 | 373 |
Fair value hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 52 | (30) | (105) | 40 |
On Hedged Item | (47) | 13 | 98 | (70) |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 5 | (17) | (7) | (30) |
Amount Recorded in Net Interest Income | (38) | (5) | (106) | (16) |
Fair value hedges | Available-for-sale securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 51 | (40) | (4) | (28) |
On Hedged Item | (50) | 29 | 0 | 15 |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 1 | (11) | (4) | (13) |
Amount Recorded in Net Interest Income | (31) | (33) | (93) | (111) |
Fair value hedges | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 35 | (77) | (143) | (49) |
On Hedged Item | (34) | 78 | 143 | 49 |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 1 | 1 | 0 | 0 |
Amount Recorded in Net Interest Income | (17) | (22) | (57) | (63) |
Fair value hedges | MPF Loans held for portfolio | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 0 | 0 | 0 | 0 |
On Hedged Item | 0 | 0 | 0 | 0 |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 0 | 0 | 0 | 0 |
Amount Recorded in Net Interest Income | (2) | (4) | (7) | (11) |
Fair value hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | (34) | 87 | 42 | 117 |
On Hedged Item | 37 | (94) | (45) | (134) |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 3 | (7) | (3) | (17) |
Amount Recorded in Net Interest Income | $ 12 | $ 54 | $ 51 | $ 169 |
Derivatives and Hedging Activ59
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion Recorded in Derivatives and Hedging Activities | $ 0 | $ 1 | $ 4 | $ 2 |
Amount Recorded in Net Interest Income | 113 | 122 | 344 | 373 |
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net | $ (8) | (8) | ||
Maximum Hedging Period For Forecasted Cash Flows | 4 years | |||
Cash flow hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion Recorded in Derivatives and Hedging Activities | $ 0 | 1 | 4 | 2 |
Effective Portion Recorded in AOCI | 84 | (29) | 46 | 14 |
Amount Recorded in Net Interest Income | (48) | (60) | (142) | (181) |
Cash flow hedges | Advances | Interest rate floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion Recorded in Derivatives and Hedging Activities | 0 | 0 | 0 | 0 |
Effective Portion Recorded in AOCI | 0 | 0 | 0 | 0 |
Amount Recorded in Net Interest Income | 1 | 2 | 7 | 8 |
Cash flow hedges | Discount Notes | Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion Recorded in Derivatives and Hedging Activities | 0 | 1 | 4 | 2 |
Effective Portion Recorded in AOCI | 84 | (29) | 46 | 14 |
Amount Recorded in Net Interest Income | $ (49) | $ (62) | (147) | (187) |
Cash flow hedges | Consolidated obligation bonds | Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion Recorded in Derivatives and Hedging Activities | 0 | 0 | ||
Effective Portion Recorded in AOCI | 0 | 0 | ||
Amount Recorded in Net Interest Income | $ (2) | $ (2) |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by maturity date) (Details) - Consolidated obligation bonds - USD ($) $ in Millions | 3 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Contractual Maturity | ||
Due in one year or less | $ 9,756 | |
One to two years | 7,686 | |
Two to three years | 4,591 | |
Three to four years | 979 | |
Four to five years | 2,808 | |
Thereafter | 4,354 | |
Par value | $ 30,174 | $ 22,684 |
Weighted Average Interest Rate | ||
Due in one year or less | 1.16% | |
One to two years | 1.31% | |
Two to three years | 1.26% | |
Three to four years | 1.28% | |
Four to five years | 1.99% | |
Thereafter | 2.85% | |
Par value | 1.54% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 20,922 | |
One to two years | 4,460 | |
Two to three years | 3,105 | |
Three to four years | 474 | |
Four to five years | 363 | |
Thereafter | 850 | |
Par value | $ 30,174 | |
Minimum | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 1 year | |
Maximum | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 20 years |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Short-term Debt [Line Items] | ||
Carrying Amount | $ 39,144 | $ 41,564 |
Discount Notes | ||
Short-term Debt [Line Items] | ||
Carrying Amount | 39,144 | 41,564 |
Par Value | $ 39,164 | $ 41,584 |
Weighted Average Interest Rate | 0.39% | 0.22% |
Consolidated Obligations (Bon62
Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Debt Instrument [Line Items] | ||
Consolidated obligation bonds | $ 30,139 | $ 22,582 |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Par Value | 30,174 | 22,684 |
Fair value hedging adjustments | (49) | (101) |
Other adjustments | 14 | (1) |
Consolidated obligation bonds | 30,139 | 22,582 |
Consolidated obligation bonds | Noncallable | ||
Debt Instrument [Line Items] | ||
Par Value | 18,288 | 10,148 |
Consolidated obligation bonds | Callable | ||
Debt Instrument [Line Items] | ||
Par Value | $ 11,886 | $ 12,536 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 532,920 | $ 410,859 |
FHLB Chicago as primary obligor | $ 30,174 | $ 22,684 |
As a percent of the FHLB System | 6.00% | 6.00% |
Discount Notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 434,808 | $ 494,343 |
FHLB Chicago as primary obligor | $ 39,164 | $ 41,584 |
As a percent of the FHLB System | 9.00% | 8.00% |
Total | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 967,728 | $ 905,202 |
FHLB Chicago as primary obligor | $ 69,338 | $ 64,268 |
As a percent of the FHLB System | 7.00% | 7.00% |
Capital and Mandatorily Redee64
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares | 3 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Capital [Abstract] | ||
Capital stock par value | $ 100 | $ 100 |
Capital Stock, Redemption, Period of Written Notice | 5 years |
Capital and Mandatorily Redee65
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Regulatory capital requirements) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Federal Home Loan Banks [Abstract] | ||
Risk Based Capital, Requirement | $ 971 | $ 1,027 |
Risk Based Capital, Actual | 4,889 | 4,688 |
Total Regulatory Capital, Requirement | 2,999 | 2,827 |
Total Regulatory Capital, Actual | $ 4,889 | $ 4,688 |
Total Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Total Regulatory Capital Ratio, Actual | 6.52% | 6.63% |
Leverage Capital, Requirement | $ 3,749 | $ 3,534 |
Leverage Capital, Actual | $ 7,332 | $ 7,032 |
Leverage Capital Ratio, Requirement | 5.00% | 5.00% |
Leverage Capital Ratio, Actual | 9.78% | 9.95% |
Capital and Mandatorily Redee66
Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) $ in Millions | 3 Months Ended | |
Sep. 30, 2016USD ($) | ||
One Mortgage Partners Corp. | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock Outstanding | $ 245 | [1] |
BMO Harris Bank, N.A. | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock Outstanding | $ 219 | |
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp. | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 13.00% | |
Stockholders' Equity, Total [Member] | BMO Harris Bank, N.A. | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 11.00% | |
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Capital and Mandatorily Redee67
Capital and Mandatorily Redeemable Capital Stock (MRCS) Transfer of Capital Stock to Mandatorily Redeemable Capital Stock (MRCS) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | |
Equity [Abstract] | |||
Capital stock reclassified to mandatorily redeemable capital stock | $ 294 | $ 300 | $ 1 |
Capital and Mandatorily Redee68
Capital and Mandatorily Redeemable Capital Stock (MRCS) Excess capital stock (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Apr. 01, 2016 |
Banking and Thrift [Abstract] | ||
Excess Capital | $ 419 | $ 593 |
Accumulated Other Comprehensi69
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | $ (28) | |||
Amounts reclassified in period to statements of income: | ||||
Ending balance | $ (72) | (72) | ||
AOCI | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (151) | $ 139 | (28) | $ 217 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 80 | (96) | (36) | (170) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | (1) | (1) | (4) | (4) |
Non-interest gain (loss) | (1) | (4) | (2) | |
Other comprehensive income in the period | 79 | (98) | (44) | (176) |
Ending balance | (72) | 41 | (72) | 41 |
Net Unrealized - | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 558 | 925 | 658 | 1,060 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (13) | (79) | (113) | (214) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Other comprehensive income in the period | (13) | (79) | (113) | (214) |
Ending balance | 545 | 846 | 545 | 846 |
Non-credit OTTI - | Held-to-maturity Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (196) | (238) | (217) | (264) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 9 | 11 | 30 | 37 |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Other comprehensive income in the period | 9 | 11 | 30 | 37 |
Ending balance | (187) | (227) | (187) | (227) |
Net Unrealized - Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (508) | (541) | (463) | (580) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 84 | (29) | 46 | 14 |
Amounts reclassified in period to statements of income: | ||||
Net interest income | (1) | (1) | (4) | (4) |
Non-interest gain (loss) | (1) | (4) | (2) | |
Other comprehensive income in the period | 83 | (31) | 38 | 8 |
Ending balance | (425) | (572) | (425) | (572) |
Post-Retirement Plans | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (5) | (7) | (6) | 1 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 0 | 1 | 1 | (7) |
Amounts reclassified in period to statements of income: | ||||
Other comprehensive income in the period | 0 | 1 | 1 | (7) |
Ending balance | $ (5) | $ (6) | $ (5) | $ (6) |
Fair Value Accounting (Carrying
Fair Value Accounting (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Financial Assets - | |||
Cash and due from banks | $ 31 | $ 499 | |
Interest bearing deposits | 650 | 650 | |
Federal Funds sold | 3,807 | 1,702 | |
Securities purchased under agreements to resell | 1,000 | 1,375 | |
Held-to-maturity securities | 5,308 | 6,513 | |
Carrying Amount | |||
Financial Assets - | |||
Cash and due from banks | 31 | 499 | |
Interest bearing deposits | 650 | 650 | |
Federal Funds sold | 3,807 | 1,702 | |
Securities purchased under agreements to resell | 1,000 | 1,375 | |
Held-to-maturity securities | 4,788 | 5,967 | |
Advances | 43,117 | 36,778 | |
MPF Loans held in portfolio, net | 4,720 | 4,828 | |
Financial Liabilities - | |||
Deposits | (512) | (538) | |
Consolidated obligation discount notes | (39,144) | (41,564) | |
Consolidated obligation bonds | (30,139) | (22,582) | |
Mandatorily redeemable capital stock | (302) | (8) | |
Subordinated notes | (944) | ||
Fair Value | |||
Financial Assets - | |||
Cash and due from banks | 31 | 499 | |
Interest bearing deposits | 650 | 650 | |
Federal Funds sold | 3,807 | 1,702 | |
Securities purchased under agreements to resell | 1,000 | 1,375 | |
Held-to-maturity securities | 5,308 | 6,513 | |
Advances | 43,149 | 36,736 | |
MPF Loans held in portfolio, net | 5,032 | 5,190 | |
Financial Liabilities - | |||
Deposits | (512) | (538) | |
Consolidated obligation discount notes | (39,146) | (41,563) | |
Consolidated obligation bonds | (30,594) | (22,986) | |
Mandatorily redeemable capital stock | (302) | (8) | |
Subordinated notes | (966) | ||
Level 1 | |||
Financial Assets - | |||
Cash and due from banks | 31 | 499 | |
Interest bearing deposits | 650 | 650 | |
Federal Funds sold | 0 | 0 | |
Securities purchased under agreements to resell | 0 | 0 | |
Held-to-maturity securities | 0 | 0 | |
Advances | 0 | 0 | |
MPF Loans held in portfolio, net | 0 | 0 | |
Financial Liabilities - | |||
Deposits | 0 | 0 | |
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | 0 | |
Mandatorily redeemable capital stock | (302) | (8) | |
Subordinated notes | 0 | ||
Level 2 | |||
Financial Assets - | |||
Cash and due from banks | 0 | 0 | |
Interest bearing deposits | 0 | 0 | |
Federal Funds sold | 3,807 | 1,702 | |
Securities purchased under agreements to resell | 1,000 | 1,375 | |
Held-to-maturity securities | 4,266 | 5,293 | |
Advances | 43,149 | 36,736 | |
MPF Loans held in portfolio, net | 5,007 | 5,155 | |
Financial Liabilities - | |||
Deposits | (512) | (538) | |
Consolidated obligation discount notes | (39,146) | (41,563) | |
Consolidated obligation bonds | (30,594) | (22,931) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Subordinated notes | (966) | ||
Level 3 | |||
Financial Assets - | |||
Cash and due from banks | 0 | 0 | |
Interest bearing deposits | 0 | 0 | |
Federal Funds sold | 0 | 0 | |
Securities purchased under agreements to resell | 0 | 0 | |
Held-to-maturity securities | 1,042 | 1,220 | |
Advances | 0 | 0 | |
MPF Loans held in portfolio, net | 25 | 35 | |
Financial Liabilities - | |||
Deposits | 0 | 0 | |
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | (55) | [1] |
Mandatorily redeemable capital stock | $ 0 | 0 | |
Subordinated notes | $ 0 | ||
[1] | Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Fair Value Accounting (Fair Val
Fair Value Accounting (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Financial Assets - | |||
Advances | $ 703 | $ 511 | |
Derivative assets | 21 | 2 | |
Other assets - Mortgage loans held for sale | 58 | 54 | |
Netting | (642) | (601) | |
Financial Liabilities - | |||
Derivative liabilities | (48) | (55) | |
Netting | 1,523 | 1,369 | |
Level 2 | |||
Financial Liabilities - | |||
Consolidated obligation discount notes | (39,146) | (41,563) | |
Consolidated obligation bonds | (30,594) | (22,931) | |
Level 3 | |||
Financial Liabilities - | |||
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | (55) | [1] |
Fair Value Recurring | |||
Financial Assets - | |||
Trading securities | 1,047 | 1,160 | |
Available-for-sale securities | 15,561 | 17,470 | |
Advances | 703 | 511 | |
Derivative assets | 21 | 2 | |
Other assets - Mortgage loans held for sale | 58 | 54 | |
Financial assets at fair value | 17,390 | 19,197 | |
Financial Liabilities - | |||
Consolidated obligation discount notes | (12,537) | (9,006) | |
Consolidated obligation bonds | (7,058) | (1,007) | |
Derivative liabilities | (48) | (55) | |
Financial liabilities at fair value | (19,643) | (10,068) | |
Fair Value Recurring | U.S. Government & other government related non-MBS | |||
Financial Assets - | |||
Trading securities | 1,003 | 1,108 | |
Available-for-sale securities | 367 | 422 | |
Fair Value Recurring | State or local housing agency non-MBS | |||
Financial Assets - | |||
Available-for-sale securities | 20 | 18 | |
Fair Value Recurring | FFELP ABS | FFELP ABS | |||
Financial Assets - | |||
Available-for-sale securities | 4,694 | 5,299 | |
Fair Value Recurring | Residential MBS: | GSE residential MBS | |||
Financial Assets - | |||
Trading securities | 42 | 50 | |
Available-for-sale securities | 8,922 | 9,798 | |
Fair Value Recurring | Residential MBS: | U.S. Government-guaranteed residential MBS | |||
Financial Assets - | |||
Trading securities | 2 | 2 | |
Available-for-sale securities | 1,500 | 1,868 | |
Fair Value Recurring | Residential MBS: | Private-label residential MBS | |||
Financial Assets - | |||
Available-for-sale securities | 58 | 65 | |
Fair Value Recurring | Level 2 | |||
Financial Assets - | |||
Trading securities | 1,047 | 1,160 | |
Available-for-sale securities | 15,503 | 17,405 | |
Advances | 703 | 511 | |
Derivative assets | 663 | 598 | |
Other assets - Mortgage loans held for sale | 58 | 54 | |
Financial assets at fair value | 17,974 | 19,728 | |
Financial Liabilities - | |||
Consolidated obligation discount notes | (12,537) | (9,006) | |
Consolidated obligation bonds | (7,058) | (952) | |
Derivative liabilities | (1,571) | (1,424) | |
Financial liabilities at fair value | (21,166) | (11,382) | |
Fair Value Recurring | Level 2 | U.S. Government & other government related non-MBS | |||
Financial Assets - | |||
Trading securities | 1,003 | 1,108 | |
Available-for-sale securities | 367 | 422 | |
Fair Value Recurring | Level 2 | State or local housing agency non-MBS | |||
Financial Assets - | |||
Available-for-sale securities | 20 | 18 | |
Fair Value Recurring | Level 2 | FFELP ABS | FFELP ABS | |||
Financial Assets - | |||
Available-for-sale securities | 4,694 | 5,299 | |
Fair Value Recurring | Level 2 | Residential MBS: | GSE residential MBS | |||
Financial Assets - | |||
Trading securities | 42 | 50 | |
Available-for-sale securities | 8,922 | 9,798 | |
Fair Value Recurring | Level 2 | Residential MBS: | U.S. Government-guaranteed residential MBS | |||
Financial Assets - | |||
Trading securities | 2 | 2 | |
Available-for-sale securities | 1,500 | 1,868 | |
Fair Value Recurring | Level 2 | Residential MBS: | Private-label residential MBS | |||
Financial Assets - | |||
Available-for-sale securities | 0 | 0 | |
Fair Value Recurring | Level 3 | |||
Financial Assets - | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 58 | 65 | |
Advances | 0 | 0 | |
Derivative assets | 0 | 5 | |
Other assets - Mortgage loans held for sale | 0 | 0 | |
Financial assets at fair value | 58 | 70 | |
Financial Liabilities - | |||
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | (55) | [1] |
Derivative liabilities | 0 | 0 | |
Financial liabilities at fair value | 0 | (55) | |
Fair Value Recurring | Level 3 | U.S. Government & other government related non-MBS | |||
Financial Assets - | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Fair Value Recurring | Level 3 | State or local housing agency non-MBS | |||
Financial Assets - | |||
Available-for-sale securities | 0 | 0 | |
Fair Value Recurring | Level 3 | FFELP ABS | FFELP ABS | |||
Financial Assets - | |||
Available-for-sale securities | 0 | 0 | |
Fair Value Recurring | Level 3 | Residential MBS: | GSE residential MBS | |||
Financial Assets - | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Fair Value Recurring | Level 3 | Residential MBS: | U.S. Government-guaranteed residential MBS | |||
Financial Assets - | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Fair Value Recurring | Level 3 | Residential MBS: | Private-label residential MBS | |||
Financial Assets - | |||
Available-for-sale securities | $ 58 | $ 65 | |
[1] | Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Fair Value Accounting (Fair V72
Fair Value Accounting (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | $ 42,792 | $ 36,605 |
Fair value | 703 | 511 |
Fair value | 7,058 | 952 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | 689 | 509 |
Fair value over (under) UPB | 14 | 2 |
Fair value | 703 | 511 |
Consolidated Obligation Bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | 7,047 | 953 |
Fair value over (under) UPB | 11 | (1) |
Fair value | $ 7,058 | $ 952 |
Commitments and Contingencies73
Commitments and Contingencies (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 | |
Commitments | |||
Expire within one year | $ 10,282 | $ 5,707 | |
Expire after one year | 2,403 | 1,985 | |
Total | 12,685 | 7,692 | |
Unsettled consolidated obligation bonds | |||
Commitments | |||
Expire within one year | 748 | 105 | |
Expire after one year | 0 | 0 | |
Total | 748 | 105 | |
Unsettled consolidated obligation discount notes | |||
Commitments | |||
Expire within one year | 500 | 0 | |
Expire after one year | 0 | 0 | |
Total | 500 | 0 | |
Member standby letters of credit | |||
Commitments | |||
Expire within one year | 8,283 | 5,063 | |
Expire after one year | [1] | 2,140 | 1,615 |
Total | 10,423 | 6,678 | |
Portion of member standby letters of credit that expire after one year that were also renewable annually | 372 | 637 | |
Housing authority standby bond purchase agreements | |||
Commitments | |||
Expire within one year | 46 | 49 | |
Expire after one year | 262 | 362 | |
Total | 308 | 411 | |
Advance commitments | |||
Commitments | |||
Expire within one year | 45 | 163 | |
Expire after one year | 1 | 5 | |
Total | 46 | 168 | |
MPF delivery commitments | |||
Commitments | |||
Expire within one year | 632 | 279 | |
Expire after one year | 0 | 0 | |
Total | 632 | 279 | |
Other commitments | |||
Commitments | |||
Expire within one year | 28 | 48 | |
Expire after one year | 0 | 3 | |
Total | $ 28 | $ 51 | |
[1] | Contains $372 million and $637 million of member standby letters of credit at September 30, 2016, and December 31, 2015, which were renewable annually. |
Transactions with Related Par74
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Sep. 30, 2016 | Dec. 31, 2015 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Interest bearing deposits | $ 650 | $ 650 |
Assets - Advances | 43,117 | 36,778 |
Liabilities - Deposits | 512 | 538 |
Equity - Capital Stock | 1,636 | 1,950 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Interest bearing deposits | 650 | 650 |
Assets - Advances | 16,016 | 15,168 |
Liabilities - Deposits | 33 | 20 |
Equity - Capital Stock | $ 483 | $ 467 |